We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

find that policy uncertainty raises stock price volatility and reduces investment and employment in policy …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …