Measuring Chinese consumers’ perceived uncertainty
Kiryoung Lee and
International Review of Economics & Finance, 2020, vol. 66, issue C, 51-70
An unanticipated change in consumers’ view on the expected economic condition has the potential to provide information about the degree of economic uncertainty. Based on this intuition, we construct a monthly time-varying Chinese economic uncertainty measure using the Chinese Consumer Opinion Survey data from September 2002 to June 2018. Our economic uncertainty measure varies counter-cyclically and has strong predictive power for future recessions, GDP, consumption, industrial production, trade, and stock prices, even after controlling for other uncertainty indices. Moreover, we confirm that our economic uncertainty measure does not vary in response to real economic activities, but it rather precedes future real economic activities. Finally, we find that a shock to our uncertainty measure significantly reduces future Chinese GDP and consumption as well as US production, CPI, export, and import. The effect of our uncertainty index shock is stronger and longer-lasting on both Chinese and US economies than the realized variance of the stock market returns or the economic policy uncertainty index.
Keywords: Uncertainty; Economic uncertainty index; Consumer opinion survey; Production (search for similar items in EconPapers)
JEL-codes: E20 E22 E23 E32 E37 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:66:y:2020:i:c:p:51-70
Access Statistics for this article
International Review of Economics & Finance is currently edited by H. Beladi and C. Chen
More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().