The following two figures show the macroeconomic uncertainty indices produced based on Rossi, B. and T. Sekhposyan (2015), "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions," American Economic Review: Papers & Proceedings 105(5), 650-655. This index is for the United States.
Below are some useful links for using the series produced in the paper:
→ Matlab codes for updating the series as new data becomes available
→ Macroeconomic Uncertainty Index in Excel, last updated in February 2024
The following two figures show the macroeconomic uncertainty index produced based on Rossi, B. and T. Sekhposyan (2017), "Macroeconomic Uncertainty Indices for the Euro Area and its Individual Member Countries," Empirical Economics 53(1), 41-62. This index is for the Euro Area.
Below are some useful links for using the series produced in the paper:
→ Matlab codes for updating the macroeconomic (output growth) uncertainty index as new data becomes available
→ Macroeconomic Uncertainty Index for Euro Area in Excel, last updated in April 2024