Data for: Country-Specific Wording and Search-Based Indices of Financial Uncertainty

Volatility of USD to TRY exchange rate: 3 month implied volatility of USD to TRY Exchange rate. The data is obtained from Thomson Reuters. Volatility of Goverment Bond Yield: Montly standard deviation of the daily change in 2-year goverment bond yield. The 2-year goverment bond yield is obtained from Thomson Reuters. Volatility of Borsta Istanbul 100 Index: Monhly standard devation of daily logarithmic change in Borsa Istanbul 100 Index (BIST100). Daily Borsa Istanbul 100 Index is obtained from Central Bank of Turkey. The percent change in USD to TRY exchange rate and BIST100 index is montly logarithmic change. Change in goverment bond yield is the difference between interest rate in current month and previous month.