epu: Monthly U.S. Economic Policy Uncertainty index

In sentometrics: An Integrated Framework for Textual Sentiment Time Series Aggregation and Prediction

Description

Monthly news-based U.S. Economic Policy Uncertainty (EPU) index (Baker, Bloom and Davis, 2016). Goes from January 1985 to July 2018, and includes a binomial and a multinomial example series. Following columns are present:

• date. Date as "yyyy-mm-01".

• index. A numeric monthly index value.

• above. A factor with value "above" if the index is greater than the mean of the entire series, else "below".

• aboveMulti. A factor with values "above+", "above", "below" and "below-" if the index is greater than the 75% quantile and the 50% quantile, or smaller than the 50% quantile and the 25% quantile, respectively and in a mutually exclusive sense.

Usage

data("epu")

Format

A data.frame with 403 rows and 4 columns.

Source

Measuring Economic Policy Uncertainty. Retrieved August 24, 2018.

References

Baker, Bloom and Davis (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics 131, 1593-1636, doi: 10.1093/qje/qjw024.

Examples

data("epu", package = "sentometrics")
head(epu)

sentometrics documentation built on Aug. 18, 2021, 9:06 a.m.