Identifying the Drivers of Economic Uncertainty in China: A News-Based Approach

25 Pages Posted: 4 Apr 2022

See all articles by Lena H

Lena H

Technical University of Dortmund

Ralf Metzler

University of Duisburg-Essen - Mercator School of Management

Abstract

Global levels of uncertainty have recently increased in an unprecedented manner. The news-based Uncertainty Perception Indicator (UPI) does not only forecast such shocks, but it can help to identify the drivers of perceived uncertainty originating from different areas of the economy. Using the computational topic modeling approach Latent Dirichlet Allocation, this study develops UPI for China based on a corpus of 636,457 articles published in the South China Morning Post between 2000 and 2020. Our findings suggest that perceived levels of economic uncertainty in China are mainly shaped by developments in the real economy and that stock price exposure is highest for real economic uncertainty. At the same time, we find that the perception of political uncertainty is mostly driven by media coverage of international affairs and regional security.

Keywords: Media effects, Economic uncertainty, Latent Dirichlet Allocation, Asset Pricing, Cross-section of stock returns

Suggested Citation

H, Lena and Metzler, Ralf, Identifying the Drivers of Economic Uncertainty in China: A News-Based Approach. Available at SSRN: https://ssrn.com/abstract=4074354 or http://dx.doi.org/10.2139/ssrn.4074354

Lena H (Contact Author)

Technical University of Dortmund ( email )

Ralf Metzler

University of Duisburg-Essen - Mercator School of Management ( email )

Lotharstraße 65
Duisburg, Nordrhein-Westfalen 47057
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
41
Abstract Views
620
PlumX Metrics