Sources and Citations

Stock Market Data

CAPE Ratio and Housing index

Shiller, Robert

2024

Source

Accessed: 13 August 2024

Economic Uncertainty Indices

Economic Policy Uncertainty Website

Baker, Scott R.

2024

Source

Accessed: 13 August 2024

Policy News and Stock Market Volatility

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle

2019

These data can be used freely with attribution to the authors, the paper, and www.PolicyUncertainty.com.

Measuring Economic Policy Uncertainty

Baker, Scott; Bloom, Nicholas; Davis, Steven J.

Source

These data can be used freely with attribution to the authors, the paper, and the website.

Macroeconomic Effects of Uncertainty Shocks: Evidence from Korea

Cho, Dooyeon; Kim, Husang

2023

Policy Uncertainty in Japan

Arbatli Saxegaard, Elif C.; Davis, Steven J.; Ito, Arata; Miake, Naoko

Measuring Climate Policy Uncertainty

Gavriilidis, K.

2021

Source

U.S.-China Tension

Rogers, Sun, and Sun

2024

Working paper

Twitter-Derived Measures of Economic Uncertainty

Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Renault, Thomas

World Uncertainty Index

Ahir, H; Bloom, N; Furceri, D

2022

NBER Working Paper

Patterns of Panic: Financial Crisis Language in Historical Newspapers

Püttmann, Lukas

Financial Stress Indicator (FSI) for the United States

Migration Fear Index

Baker, Scott R. et al.

Measuring Geopolitical Risk

Caldara, Dario; Iacoviello, Matteo

2021

Working paper, Board of Governors of the Federal Reserve Board

EURQ: A New Web Search-based Uncertainty Index

Bontempi, M.E.; Frigeri, M.; Golinelli, R.; Squadrani, M.

2021

Measuring the Energy-Related Uncertainty Index

Dang, Tam Hoang-Nhat; Nguyen, Canh Phuc; Lee, Gabriel S.; Nguyen, Binh Quang; Le, Thuy Thu

2023

Energy Economics

The macroeconomic effects of oil price uncertainty

Abiad, A.; Qureshi, I.A.

2023

Energy Economics

Economic Policy Uncertainty in China Since 1949: The View from Mainland Newspapers

Davis, Steven J.; Liu, Dingqian; Sheng, Xuguang S.

Working paper

The Economic Effects of Trade Policy Uncertainty

Caldara, Dario; Iacoviello, Matteo; Molligo, Patrick; Prestipino, Andrea; Raffo, Andrea

2019

Journal of Monetary Economics, forthcoming

Transition versus physical climate risk pricing in European financial markets: A text-based approach

Bua, G.; Kapp, D.; Ramella, F.; Rognone, L.

2024

Source

The European Journal of Finance, 1-35

Asset Pricing Models

Implied Equity Risk Premium

Damodaran, A.

2024

Source

Accessed: 13 August 2024

Five-Factor Asset Pricing Model

French, Kenneth R.

2024

Source

Accessed: 13 August 2024

A Five-Factor Asset Pricing Model

Fama, Eugene F.; French, Kenneth R.

2014

Source

Fama-Miller Working Paper

Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library

Fama, Eugene F.; French, Kenneth R.

2023

Source

Chicago Booth Research Paper No. 23-22, Fama-Miller Working Paper

Industries Portfolio

French, Kenneth R.

2024

Source

Accessed: 13 August 2024