epuR

The goal of epuR is to provide a simple and consistent framework to collect Economic Policy Uncertainty and related index data from their official web locations in real time.

The official websites are listed here:

Economic Policy Uncertainty：https://www.policyuncertainty.com/china_monthly.html.

Trade Policy Uncertainty: https://www.matteoiacoviello.com/tpu.htm#data

Oxford-Man Institute Realized Volatility: https://realized.oxford-man.ox.ac.uk/

Geopolitical Risk Index: https://www.matteoiacoviello.com/gpr.htm

Installation

You can install the released version of epuR from CRAN with:

install.packages("epuR")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("Lingbing/epuR")

Example

epuR functions adopts a get_XXX() style to collect the index data, where ‘XXX’ refers to the index name. For example, to get the Economic Policy Uncertainty (EPU) index, use function get_EPU():

library(epuR)
## get EPU data
epu_data <- get_EPU()
class(epu_data)
#> [1] "xts" "zoo"

Every get function returns an xts time series object so that further data manipulation and visualization is very straightforward if you are familiar with operations on xts. To plot all regions in the EPU data:

plot(epu_data)

To plot some specific region:

plot(epu_data$Australia)

Using dygraphs

dygraphs can be directly employed to make the time series plot interactive:

library(dygraphs)
dygraph(epu_data$China)

Currently, the following indexes are supported:

Supported Index

Function	Index Data	Default arguments
get_EPU	Economic Policy Uncertainty	region = “all”
get_EMV	Equity Market Volatility	all = T
get_FSI	Financial Stress Indicator	freq = “monthly”
get_GPR	Geopolitical Risk Index	type = 1
get_IRI	Immigration Related Index	region = “all”
get_TPU	Trade Policy Uncertainty	region = “China”
get_WUI	World Uncertainty Index	type = “F1”
get_OMI	Oxford-Man Institute RV	index = “AEX”

For example, to get the FSI data:

fsi_data <- get_FSI()
dygraph(fsi_data)