We construct daily, weekly, and monthly Twitter Economic Uncertainty (TEU) indicators from
2011 onwards based on counts of tweets about the" economy" and" uncertainty.” We use
geotagged tweets and users' location inference based on friendships to construct a TEU
index based on tweets sent by users located in the United States. Our TEU indicator
behaves similarly to the newspaper-based Economic Policy Uncertainty index of Baker,
Bloom and Davis (2016), which suggests that Twitter users and journalists have similar …