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Twitter-based Chinese economic policy uncertainty

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  • Lee, Kiryoung
  • Choi, Eunseon
  • Kim, Minki

Abstract

Given the strict censorship in China, would tweets about Chinese economic policy uncertainty by global Twitter users contain valuable information above and beyond existing indices? We construct novel daily and monthly frequency "censorship-free" indices of Twitter-based Chinese economic policy uncertainty from March 2010 to April 2022, based on a total of 76,765 tweets that contain words about Chinese economic policy uncertainty. Our uncertainty index reasonably spikes during major economic policy events. Shocks to our index are significantly associated with future Chinese stock market returns as well as investment, consumption, unemployment, and production while existing Chinese economic policy uncertainty indices are not significantly related to economic outputs.

Suggested Citation

  • Lee, Kiryoung & Choi, Eunseon & Kim, Minki, 2023. "Twitter-based Chinese economic policy uncertainty," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000016
    DOI: 10.1016/j.frl.2023.103627
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    1. Xia, Yufei & Shi, Zhengxu & Du, Xiaoying & Niu, Mengyi & Cai, Rongjiang, 2023. "Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications," Finance Research Letters, Elsevier, vol. 55(PA).

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    More about this item

    Keywords

    Twitter; Big data; Economic policy uncertainty; China; Chinese uncertainty;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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