Brexit Uncertainty Index

All data, graphs and analyses on this site should be cited as Chung, Dai, Elliott and Görtz (2023)

Project Summary

We construct novel news-based indicators of Brexit uncertainty at both aggregate and topic-specific level for the UK economy (such as Northern Ireland, supply chain issues, and energy & climate), based on textual analysis and unsupervised machine learning methods.
These Brexit uncertainty indices (BUI) capture well UK firms’ concerns reported by the Bank of England’s Decision Maker Panel surveys.
These monthly indices are cost-effective and can be updated in close to real time, which are advantageous to policy evaluation compared to traditional large firm surveys.
They also allow for disentangling the Brexit effects from those of the COVID-19 pandemic. We find that the pandemic accounted for around half of the overall uncertainty index post 2020, and this magnification effect varies significantly across policy areas.

Aggregate Brexit Uncertainty Index

general

-BUI: A monthly index based on the frequency of news articles that concern Brexit uncertainty. The index is normalized to a maximum value of 100.

Lower Bound BUI: A monthly index based on the frequency of news articles that concern Brexit uncertainty, excluding all articles mentioning COVID related words after January 2020.

Twitter BUI: An index that we construct based on the same methodology for the news-based BUI, but using instead the frequency of Twitter tweets concerning Brexit uncertainty.
Comparison to Stock Market Volatility
VFTSE: the FTSE 100 Volatility Index (VFTSE), representing the implied volatility on the FTSE 100, available until June 2019. Data source: Bloomberg.