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Measuring economic uncertainty is extremely important for evaluating its role in economic activity. Nevertheless, measuring uncertainty is a difficult task since we do not know when economic agents perceive uncertainty and which type of uncertainty affects them. This paper introduces the economic uncertainty related queries (EURQ) index, computed for both the USA and Italy, which measures economic, political and normative uncertainty through large‐scale searches on the internet. We show that the EURQ index captures economic agents' need for information in response to uncertainty shocks. Moreover, we show that this need for information is not just curiosity triggered by press coverage but rather captures individuals' genuine interest, particularly in specific topics subject to uncertainty. Hence the EURQ index can be exploited fruitfully to measure the level of uncertainty perceived by economic agents and to assess the role of specific types of uncertainty in economic activity. [ABSTRACT FROM AUTHOR]