【摘要】Economic uncertainty is commonly proxied by either equity market volatility or the variability of key macroeconomic variables. We propose a portfolio based measure of economic uncertainty (PBMEU) that uses market data for equity, bond, oil and other commodities. With the PBMEU the correlation between equity and oil markets helps identify the economic consequences of shocks across markets. The PBMEU is higher than volatility-based proxies when there are significant and persistent global economy-wide events. Shocks that are specific to the oil market (e.g. supply disruptions) have a limited impact on the PBMEU. In periods with few global events the PBMEU suggests lower (or less variable) overall uncertainty than competing approaches.