Research on Economic Policy Uncertainty

Our Work

"Measuring Economic Policy Uncertainty"

"What Triggers Stock Market Jumps?"

Academic Research using our data

Antonakakis, Nikolaos; Chatziantoniou, Ioannis and Filis, George (2012), "Dynamic Co-movements between Stock Market Returns and Policy Uncertainty"

Bachmann, Rüdiger, Steffen Elstener, and Eric Sims (2011), "Uncertainty and Economic Activity: Evidence from Business Survey Data"

Bailey, Warren, Lin Zheng, and Yinggang Zhou (2012), "What makes the VIX tick?"

Born, Benjamin and Pfeifer, Johannes (2012), "Policy risk and the business cycle"

Brogaard, J and Detzel, A. (2012), "The Asset Pricing Implications of Government Economic Policy Uncertainty"

Colombo, Valentina (2013), "Economic policy uncertainty in the US: Does it matter for the Euro Area?"

Fanta, F and Sum, V. (2013), "Long-Run Relation and Speed of Adjustment of Economic Policy Uncertainty and Excess Return Volatility"

Fernandez-Villaverde, Jesus, Guerron-Quintana, Pablo, Kuester, Keith and Juan Rubio-Ramirez (2011), "Fiscal volatility shocks and economic activity"

Giertz, Stan H. and Jacob Feldman (2012), "The Economic Costs of Tax Policy Uncertainty: Implications for Fundamental Tax Reform"

Gregory, Krag and Rangel, Jose (2012), "Links between policy uncertainty and equity volatility"

Gulen, Huseyin and Ion, Mihai (2012), "Policy uncertainty and corporate investment"

Istrefi, Klodiana and Piloiu, Anamaria (2013), "Economic Policy Uncertainty, Trust and Infation Expectations"

Johannsen, B (2012), "When are the Effects of Fiscal Policy Uncertainty Large"

Johnson, T and Lee, J (2012), "Systematic Volatility of Unpriced Earnings Shocks"

Jones, P and Olson, E (2012), "The Time-Varying Correlation Between Uncertainty, Output, and Inflation: Evidence From a DCC-GARCH Model"

Kose, M. Ayhan and Marco Terrones (2012), "How Does Uncertainty Affect Economic Performance?"

Leduc, S and Liu, Z. (2012), "Uncertainty shocks are aggregate demand shocks"

Mezrich, Joseph and Yasushi Ishikawa (2013), "Unexpressed optimism (Roubini is right)"

Orlik, Anna and Veldkamp, Laura, (2013), "Understanding Uncertainty Shocks"

Pastor, Lubos and Veronesi, Pietro, (2011a), "Uncertainty about government policy and stock prices"

Pastor, Lubos and Veronesi, Pietro, (2011b), "Political Uncertainty and Risk Premia"

Stelter, Daniel (2012), "Ending the era of Ponzi Finance"

Stock, James and Mark Watson. (2012), "Disentangling the Channels of the 2007-2009 Recession"

Shoag, D. and Veuger, S. (2012), "Uncertainty and the geography of the great recession"

Sum, V (2012), "Financial stress and economic policy uncertainty: Impulse response function and causality"

Sum, V (2012), "Economic Policy Uncertainty in the United States and Europe: A Cointegration Test"

Sum, V (2012), "The Impulse Response Function of Economic Policy Uncertainty and Stock Market Returns: A Look at the Eurozone"

Financial Applications

The items listed here apply our policy uncertainty measures to questions of interest for investors and finance professionals. This list is meant to be an illustrative, not exhaustive, sample of analyses utilizing our work in the financial industry.

2013

17 April, Instinet, "The uncertainty that matters - the drag on the market"

2012

12 November, Goldman Sachs, "The Buzz: Links between policy uncertainty and equity volatility"

23 October, Deutsche Bank, "Economic Policy Uncertainty Could Be Turning a Corner: Vol Next?"

19 October, Goldman Sachs, "Policy Uncertainty: Is Now the Time?"

17 October, Bloomberg Financial Conditions Watch, "Improving Global Financial Conditions - A Catalyst for Stronger Global Growth in 2013?"

2 September, Nomura, "Russia, Value, Organic GARP, Dividends, Tech, Financials"

22 August, Citibank, "Riding Global Waves of Uncertainty: Asia's Ongoing Journey"

31 June, Fidelity, "Quarterly Market Update"

17 April, State Street Bank - Mr. Risk, "Quantifying Uncertainty"

21 March, BBVA, "Uncertainty: Models and Impacts"

Congressional and Fed Testimony

2013

24 April, Kevin Hasset, Testimony to Congress

13 February, Casey Mulligan, Testimony to Congress

22 January, Simon Johnson, Testimony to Congress

2012

31 August, Ben Bernanke, Speech at Jackson Hole

20 September, Olympia Snow, Presentation to the US Senate

20 September, John Taylor, Testimony to Congress - Committee of Judiciary

10 July, John Goodman, Testimony to Congress

18 April, Aparna Mathur, Testimony to Congress

If you have research or analysis using our Economic Policy Uncertainty Index and would like to be included on this list, please let us know.