Oil market uncertainty index

Oil Market Uncertainty Index (OMUI) 1975M2-2020M5. Click here to download. Please cite the following papers as source for the data:

Nguyen, Bao, Tatsuyoshi Okimoto, and Trung Duc Tran. "Uncertainty and sign-dependent effects of oil market shocks." Journal of Commodity Markets, forthcoming.
Cross, Jamie, Bao H. Nguyen, and Trung Duc Tran. "The role of precautionary and speculative demand in the global market for crude oil." Journal of Applied Econometrics, forthcoming.