The World Uncertainty Index

33 Pages Posted: 19 Nov 2018 Last revised: 21 Nov 2018

See all articles by Hites Ahir

Hites Ahir

International Monetary Fund

Nicholas Bloom

Stanford University - Department of Economics; National Bureau of Economic Research (NBER)

Davide Furceri

International Monetary Fund (IMF)

Date Written: October 29, 2018

Abstract

We construct a new index of uncertainty — the World Uncertainty Index (WUI) — for 143 individual countries on a quarterly basis from 1996 onwards. This is defined using the frequency of the word “uncertainty” in the quarterly Economist Intelligent Unit country reports. Globally, the Index spikes near the 9/11 attack, SARS outbreak, Gulf War II, Euro debt crisis, El Niño, European border crisis, UK Brexit vote and the 2016 US election. Uncertainty spikes tend to be more synchronized within advanced economies and between economies with tighter trade and financial linkages. The level of uncertainty is significantly higher in developing countries and is positively associated with economic policy uncertainty and stock market volatility, and negatively with GDP growth. In a panel vector autoregressive setting, we find that innovations in the WUI foreshadow significant declines in output.

Keywords: uncertainty, political uncertainty, economic uncertainty, volatility

JEL Classification: D80, E22, E66, G18, L50

Suggested Citation

Ahir, Hites and Bloom, Nicholas and Furceri, Davide, The World Uncertainty Index (October 29, 2018). Available at SSRN: https://ssrn.com/abstract=3275033 or http://dx.doi.org/10.2139/ssrn.3275033

Hites Ahir

International Monetary Fund ( email )

700 19th Street NW
Washington, DC 20431
United States

Nicholas Bloom (Contact Author)

Stanford University - Department of Economics ( email )

Landau Economics Building, Room 231
579 Serra Mall
Stanford, CA 94305-6072
United States
650-725-7836 (Phone)

HOME PAGE: http://economics.stanford.edu/faculty/bloom

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Davide Furceri

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
348
Abstract Views
2,107
rank
86,422
PlumX Metrics