Twitter-based Chinese economic policy uncertainty

Kiryoung Lee, Eunseon Choi and Minki Kim

Finance Research Letters, 2023, vol. 53, issue C

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.

Keywords: Twitter; Big data; Economic policy uncertainty; China; Chinese uncertainty (search for similar items in EconPapers)
JEL-codes: D80 E58 E62 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000016

DOI: 10.1016/j.frl.2023.103627

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