Market-Based Monetary Policy Uncertainty Index

This index tracks the uncertainty regarding the ECB policy rate 12 months ahead. Specifically, the index represents the width (90th minus 10th percentile) in basis points of risk-neutral 12-month-ahead option-implied densities for 3-month Euribor rates. Futures and options data are sourced from EURONEXT and EUREX. The index has daily frequency.

Poli, R., & Venturi, G. C. (2025). Macroeconomic surprises and financial market reactions: insights into euro-area interest rates. Bank of Italy Occasional Paper, (959).

@article{poli2025macroeconomic,
  title={Macroeconomic surprises and financial market reactions: insights into euro-area interest rates},
  author={Poli, Riccardo and Venturi, Giulio Carlo},
  journal={Bank of Italy Occasional Paper},
  number={959},
  year={2025}
}