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The world uncertainty index

Author

Listed:
  • Hites Ahir
  • Nicholas Bloom
  • Davide Furceri

Abstract

We construct the World Uncertainty Index (WUI) for an unbalanced panel of 143 individual countries on a quarterly basis from 1952. This is the frequency of the word "uncertainty" in the quarterly Economist Intelligence Unit country reports. Globally, the Index spikes around major events like the Gulf War, the Euro debt crisis, the Brexit vote and the COVID pandemic. The level of uncertainty is higher in developing countries but is more synchronized across advanced economies with their tighter trade and financial linkages. In a panel vector auto regressive setting we find that innovations in the WUI foreshadow significant declines in output. This effect is larger and more persistent in countries with lower institutional quality, and in sectors with greater financial constraints.

Suggested Citation

  • Hites Ahir & Nicholas Bloom & Davide Furceri, 2022. "The world uncertainty index," POID Working Papers 062, Centre for Economic Performance, LSE.
    • Handle: RePEc:cep:poidwp:062
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    More about this item

    Keywords

    world uncertainty index; WUI; Economist Intelligence Unit; Gulf War; Brexit; Euro debit; Covid; pandemic; innovation;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General

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