| usacpu {sstvars} | R Documentation |
A monthly U.S. data covering the period from 1987:4 to 2024:2 (443 observations) and consisting six variables. First, the climate policy uncertainty index (CPUI) (Gavridiilis, 2021), which is a news based measure of climate policy uncertainty. Second, the economic policy uncertainty index (EPUI), which is a news based measure of economic policy uncertainty. Third, the log-difference of real indsitrial production index (IPI). Fourth, the log-difference of the consumer price index (CPI). Fifth, the log-difference of the producer price index (PPI). Sixth, an interest rate variable, which is the effective federal funds rate that is replaced by the the Wu and Xia (2016) shadow rate during zero-lower-bound periods. The Wu and Xia (2016) shadow rate is not bounded by the zero lower bound and also quantifies unconventional monetary policy measures, while it closely follows the federal funds rate when the zero lower bound does not bind.
Description
A monthly U.S. data covering the period from 1987:4 to 2024:2 (443 observations) and consisting six variables. First, the climate policy uncertainty index (CPUI) (Gavridiilis, 2021), which is a news based measure of climate policy uncertainty. Second, the economic policy uncertainty index (EPUI), which is a news based measure of economic policy uncertainty. Third, the log-difference of real indsitrial production index (IPI). Fourth, the log-difference of the consumer price index (CPI). Fifth, the log-difference of the producer price index (PPI). Sixth, an interest rate variable, which is the effective federal funds rate that is replaced by the the Wu and Xia (2016) shadow rate during zero-lower-bound periods. The Wu and Xia (2016) shadow rate is not bounded by the zero lower bound and also quantifies unconventional monetary policy measures, while it closely follows the federal funds rate when the zero lower bound does not bind.
Usage
usacpu
Format
A numeric matrix of class 'ts' with 443 rows and 4 columns with one time series in each column:
- First column (CPUI):
The climate policy uncertainty index, https://www.policyuncertainty.com/climate_uncertainty.html.
- Second column (EPUI):
The economic policy uncertainty index, https://www.policyuncertainty.com/us_monthly.html.
- Third column (IPI):
The log-difference of real indsitrial production index, https://fred.stlouisfed.org/series/INDPRO.
- Fourth column (CPI):
The log-difference of the consumer price index, https://fred.stlouisfed.org/series/CPIAUCSL.
- Fifth column (PPI):
The log-difference of the producer price index, https://fred.stlouisfed.org/series/PPIACO.
- Sixth column (RATE):
The Federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, https://fred.stlouisfed.org/series/FEDFUNDS, https://www.atlantafed.org/cqer/research/wu-xia-shadow-federal-funds-rate.
Source
The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website
References
K. Gavriilidis, 2021. Measuring climate policy uncertainty. https://www.ssrn.com/abstract=3847388.
Federal Reserve Bank of Chicago. 2023. Monthly GDP Growth Rate Data. https://www.chicagofed.org/publications/bbki/index.
Wu J. and Xia F. 2016. Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(2-3): 253-291.