Oil Price Uncertainty Index

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We are pleased to host the Oil Price Uncertainty (OPU) index created by Abdul Abiad and Irfan A. Qureshi in their article on "The Macroeconomic Effects of Oil Price Uncertainty", published in Energy Economics in 2023.

They construct their OPU index based on frequency counts of newspaper articles, following the methods in "Measuring Economic Policy Uncertainty" by Baker, Bloom and Davis. Their index is monthly and runs from January 1969 to December 2019.

In constructing their index, Abiad and Qureshi consider the set of English-language articles with at least 100 words published in 50 newspapers around the world. They exclude sports articles, editorials, abstracts, adverts and sponsored content, blogs, opinion pieces, country profiles, transcripts, press releases, and other types of articles that are not standard news items.

For this set of articles, and for each newspaper and month, they count the ones that contain "oil," "petrol," "petroleum," "gas" or "gasoline" within two words of "pric*," and in which "pric*" appears within two words of "uncert*," "volatil*," "fluct*," "erratic," "unstable," "unsteady," "chang*," "unpredict*," "vary*," "swing*" or "move*." They scale these raw OPU counts by the number of articles in the same newspaper and month. Next, they standardize each newspaper's scaled frequency counts to have a unit standard deviation from 1969 to 2019. Finally, they average over the resulting newspaper-level series by month and normalize the average OPU index value to a mean of 100 from 1969 to 2019.