epu {sentometrics} | R Documentation |
Monthly U.S. Economic Policy Uncertainty index
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)