Monthly Exchange Rate Uncertainty Indices
We construct indices of exchange rate uncertainty, that measure how unpredictable exchange rates are relative to their historical past, for the world’s major industrialized economies, as used in “Uncertainty and Deviations from Uncovered Interest Rate Parity”.
The monthly indices are based on three-month-ahead forecast errors of the random walk model and the methodology in Rossi and Sekhposyan (2015). We calculate the overall, upside and downside uncertainty indices.
The indices are available for Australia, Canada, Switzerland, Denmark, Eurozone, United Kingdom, Japan, Norway, New Zealand, and Sweden.