We constructed the monthly Economic Policy Uncertainty (EPU) index for Greece for the period 1998-2018 using the Baker et al. (2016) methodology. This index is of critical importance for macroeconomic research given the presumed heightened levels of uncertainty in the Greek economy in the context of recent economic and political events. The newly-constructed time series of the uncertainty index is discussed and related to the recent economic and financial crisis in Greece and the Eurozone. Simple statistical analysis highlights the high levels of correlation in economic policy uncertainty between Greece, European countries and the USA. It is also shown that the uncertainty correlation between Greece and Europe is time varying and has become much lower since the onset of the Greek crisis.
