Economic uncertainty is an important economic index, which measures the degree of inconsistency between the economic conditions and the expectations of economic actors, and is closely related to the macroeconomy performance and policy making. The increase of economic uncertainty may have negative effects on economic activities. Therefore, it is important to study economic uncertainty for understanding fluctuations in the economy, formulating macro-control policies, and stimulating market vitality. Since the economic uncertainty is not directly observable, it is necessary to develop a method to quantify the uncertainty and assess its macroeconomic effects. We propose to construct an economic uncertainty index based on the Weibo data, which involves more people's views regarding the economy. This method takes the public opinions into account and can show the timely changes of the economic uncertainty. First, we use a long and short-term memory (LSTM) model to classify the sentiments of the comments posted on Weibo on the economic issues. This method saves a lot of time and cost to classify the sentiments of the Weibo comments manually and is helpful for the real-time measurement of the economic uncertainty index. Then, we construct the Economic Uncertainty Index(EUI) by measuring the inconsistency of the public opinions. The empirical analysis results show that:1) Weibo data has a good reflection on the important economic issues, and EUI is consistent with the economic development trends and shows spikes around the major events; 2) EUI is consistent with other economic uncertainty indices which are commonly used in literatures. For example, EUI shows similar patterns with EPU proposed by Baker et al. (2016) and provides timely information for important economic issues. Furthermore, EUI is positively correlated with the market volatility index and the stock return variance and negatively correlated with the Consumer Confidence Index and Fund Manager Confidence Index; 3) Using the vector autoregressive (VAR) model to assess the impact of EUI on the macroeconomy, the results show that EUI has a significant negative impact on imports, exports and consumption.