Measuring economic uncertainty is extremely important for evaluating its role in economic activity. Nevertheless, measuring uncertainty is a difficult task since we do not know when economic agents perceive uncertainty and which type of uncertainty affects them. This paper introduces the economic uncertainty related queries (EURQ) index, computed for both the USA and Italy, which measures economic, political and normative uncertainty through large‐scale searches on the internet. We show that the EURQ index captures economic agents’ need for information in response to uncertainty shocks. Moreover, we show that this need for information is not just curiosity triggered by press coverage but rather captures individuals’ genuine interest, particularly in specific topics subject to uncertainty. Hence the EURQ index can be exploited fruitfully to measure the level of uncertainty perceived by economic agents and to assess the role of specific types of uncertainty in economic activity.

Macroeconomic uncertainty consists of three components: the unobservable, the heterogeneous and the "uncertain". We are unaware of exactly when economic agents perceive uncertainty and which type of uncertainty interests them. This paper introduces and outlines a way of conducting large-scale data searches on the Web. We create the EURQ index of "economic uncertainty related queries" for both the USA and Italy. We show that the EURQ encapsulates agents' need to gather more information during periods of uncertainty. This need either spontaneously arises in the case of macro-real and political uncertainty, or is induced by the media in the case of normative and financial uncertainty. This distinction is extremely important when trying to understand the immediate impact of fiscal policy uncertainty on economic variables, and how financial shocks can produce a significant short-term impact on economic activity. It is also helpful when trying to solve the identification and endogeneity issues encountered in the literature when assessing the role of uncertainty.

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