I3E Economic Uncertainty Index
The IESE Economic Uncertainty Index (I3E) is a daily indicator of economic uncertainty across major world economies. Developed by IESE Business School, the I3E Index condenses stock market volatility, bond yields, exchange rates, and oil prices into a transparent and objective measure.
The IESE I3E Economic Uncertainty Index offers a quantifiable and bias-free benchmark for comparing uncertainty levels across nations, providing insight for research and decision-making.
The index is computed daily, using the variation rates of four key variables in each country:
- Domestic Stock Index
- Domestic 10-year government bond yields
- Domestic exchange rate
- International Brent crude oil prices
The index has an average value of 100. Although it can vary across any range, in practice it fluctuates between 0 and 200. Values below 100 indicate uncertainty lower than the average of previous decades. Values above 100 indicate greater uncertainty.
The I3E Forward Index is also computed daily and constructed from the market-expected volatility of these same four variables, measured through the implied volatility of one-month constant-maturity options. This forward-looking measure reflects expectations of economic uncertainty over the next 30 days.
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