Macroeconomic Uncertainty (MU) Index is the index measuring uncertainty of macroeconomy based on forecast errors in time series models for a wide range of economic indicators. The U.S. MU is proposed by Jurado et al. (2015) and regularly updated by the authors, which is available on their website. Japan's MU is developed by Shinohara et al. (2020). Their analysis and an additional investigation by Nakajima (2023) show that the U.S. and Japan's MUs are essential to understanding and forecasting the macroeconomy.
Prof. Nakajima, one of the authors of the studies and also a member of the Research Center for Economic and Social Risks, regularly updates Japan's MU, which is released by this website. Please follow the usage conditions on Nakajima's website when using the series.
●References
・Jurado, K., S. Ludvigson, and S. Ng (2015) "Measuring uncertainty," American Economic Review, 105(3), pp. 1177-1216.
・Nakajima, J. (2023) "The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity," Applied Economics, in press.
・Shinohara, T., T. Okuda, and J. Nakajima (2020) "Characteristics of uncertainty indices in the macroeconomy," Bank of Japan Working Paper Series No. 20-E-6.
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