I was wondering what happens to measured economic policy uncertainty during government shutdowns. In point of fact, EPU (as measured by the Baker, Bloom and Davis index) rises, but the increase is on average dwarfed by events like Covid-19/”Bleach” advice, and “Liberation Day”.

Figure 1: EPU (blue), seven centered moving average of EPU (red). Broad government shutdowns shaded orange. Source: policyuncertainty.com, Wikipedia.