Baker-Bloom-Davis MPU Indices for the United States

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To construct monthly Monetary Policy Uncertainty (MPU) Indices for the United States, we identify newspaper articles that satisfy our E, P, U and M criteria. That is, we flag articles that contain one or more terms in each of the following sets:

  • E: economic, economy
  • P: congress, legislation, white house, regulation, federal reserve, deficit
  • U: uncertain, uncertainty
  • M: federal reserve, the fed, money supply, open market operations, quantitative easing, monetary policy, fed funds rate, overnight lending rate, Bernanke, Volker, Greenspan, central bank, interest rates, fed chairman, fed chair, lender of last resort, discount window, European Central Bank, ECB, Bank of England, Bank of Japan, BOJ, Bank of China, Bundesbank, Bank of France, Bank of Italy

(We also include plurals such as "uncertainties" and variants such as "economics" in these term sets.) Thus, our MPU criteria identify a subset of the newspaper articles flagged by our EPU criteria. See our paper, "Measuring Economic Policy Uncertainty", for a discussion of how we selected these term sets.

We construct two variants of our monthly MPU Index for the United States by applying our E, P, U and M criteria to two different sets of newspapers:

1. Hundreds of daily newspapers covered by Access World News. This approach follows the same practice as in the construction of our other U.S. category-specific EPU indices.

2. A balanced panel of 10 major newspapers: USA Today, the Miami Herald, the Chicago Tribune, the Washington Post, the Los Angeles Times, the Boston Globe, the San Francisco Chronicle, the Dallas Morning News, the Houston Chronicle, and the Wall Street Journal. This is the same set we use in constructing our overall newspaper-based U.S. Economic Policy Uncertainty Index.

In each case, we sum the raw counts of articles that meet our E, P, U and M criteria across newspapers, and divide by the summed count of all articles in the same newspapers and month. We then normalize the scaled frequency count to have an average value of 100 from January 1985 through December 2010. With each monthly update, data from the preceding few months may be revised slightly. These revisions arise because there can be delays in populating the digital archives with the full set of newspaper articles.

Users of the BBD U.S. MPU Indices should cite "Measuring Economic Policy Uncertainty" by Baker, Bloom and Davis.