Uncertainty Indices

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.

Below are some useful links for using the series produced in the paper:

Matlab codes for updating the series as new data become available

Macroeconomic Uncertainty Index in Excel, last updated in May, 2020