From the figure supplied by the BoE, the index the bank uses appears to be coincident, with changes occurring in the same time period.
The index might be more useful if it was leading (i.e. suggesting future changes in GDP).
The BoE discsses some options for measuring uncertainty:
FTSE option-implied volatility (Financial market, whole economy)
Three-month option-implied volatility of the FTSE All-Share index. Option-implied volatility not available before 1992. Prior to this date, realised volatility is used (calculated as the rolling 65-day standard deviation), with data available from 1975. Sources: London Stock Exchange and New York Stock Exchange/London International Financial Futures and Options Exchange (NYSE Liffe).
Sterling option-implied volatility (Financial market, whole economy)
Three-month option-implied volatility of the sterling-euro and sterling-dollar export-weighted exchange rate. Data available from 2001. Source: British Bankers’ Association.
Dispersion of company earnings forecasts (Financial market/survey, firm)
Standard deviation of analysts’ forecasts for earnings growth over the next twelve months. Data available from 1998. Source: Institutional Brokers’ Estimate System
Dispersion of annual GDP growth forecasts (Financial market/survey, whole economy)
Standard deviation of external forecasts for annual GDP growth for the current and following calendar year, combined as a simple unweighted average. Data are first seasonally adjusted to account for the varying degree of information available to forecasters over the data cycle. Data available from 1989. Source: Consensus Economics
GfK unemployment expectations balance (Survey, household)
Headline balance from the question ‘How do you expect the number of people unemployed in this country will change over the next twelve months?’. Data available from 1985. Source: GfK.
CBI 'demand uncertainty limiting investment' score (Survey, firm)
‘Uncertainty about demand’ score from the question ‘What factors are likely to limit your capital expenditure authorisations over the next twelve months’ in the Confederation of British Industry’s (CBI) Quarterly Industrial Trends and Service Sector surveys. Data available from 1979. Prior to 1998 only the manufacturing survey is available. Post-1998 the scores from each survey are weighted together to derive a whole-economy score based on the shares of manufacturing and services in gross value added. Source: CBI.
Number of press articles citing 'economic uncertainty'
Sample covers printed editions of the Financial Times, The Guardian, The Independent and The Times. Data available from 1988. Source: Factiva.
In February London's markets got their own fear index, the Ivi.
The FTSE 100 Implied Volatility Index, which tracks the UK’s 100 biggest firms, will give London its own version of the Vix index, a widely used measure in the US that rises when investors get nervous about the future price of stocks.
The Vix, conceived in the early 1990s, tracks America’s S&P 500 market but the launch of the FTSE version – to be called the Ivi – will let money managers gauge the fear in the London market on a nightly basis.