FGV Brazilian Economic Uncertainty Indicator

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The Brazilian Economic Uncertainty Indicator produced by the Getulio Vargas Foundation (FGV) is comprised of two component indicators: (1) Media Uncertainty Indicator, which is based on the frequency of articles mentioning economic uncertainty in high-circulation newspapers (weighing 80%); and (2) Forecast Disagreement Uncertainty Indicator, which is based on the dispersion of market experts' forecasts (weighing 20%).

Both the aggregate Uncertainty Indicator and its components are standardized in order to express mean=100 and standard deviation=10 in the Jan-2006/Dec-2015 window.

Media Uncertainty Indicator

The Media component is based on the frequency of economic uncertainty related articles among the total number of articles published in six of the most read newspapers in Brazil (Valor Econômico, Folha de São Paulo, Correio Brasiliense, Estadão, O Globo, and Zero Hora). Articles are classified according to the feeling of economic uncertainty using the index created by Baker et al. (2016), in which terms related to the economy and economic uncertainty were selected and combined. In order to ensure that a type of lemmatization is performed, in which words are reduced to their roots, the following terms are used: "ECON" for economy and "INSTAB", "UNCERT" and "CRISIS" for the uncertainty terms. Articles with at least one term from each group were considered to be related to economic uncertainty.

Forecast Disagreement Uncertainty Indicator

The Forecast Disagreement component is an indicator based on the coefficient of variation derived from experts' expectations on three economic variables, with information taken from the Focus Report, published by the Brazilian Central Bank. The indicator considers the dispersion of 12-month forecasts for the short-term referential interest rate (Selic), the official CPI (IPCA) and the Brazilian Real(R$)/Dollar(US$) exchange rate (PTAX).

Information for the monthly Brazilian Economic Uncertainty Indicator and its components is collected between days 26 of month t-1 and day 25 of month t. The indicator is always published before the end of month t.

The series starts in 2000. For more information on the Brazilian Economic Uncertainty Indicator, please refer to the article Measuring Brazilian Economic Uncertainty by Costa Ferreira et al., published by Springer´s Journal of Business Cycle Research (2019).