Research
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 2010 onward. Our uncertainty index significantly 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.
We develop indices of Twitter-based Chinese Climate Uncertainty (TC-CU) and Climate Policy Uncertainty (TC-CPU) from 2010 to onward. Our indices spike with climate change-related presidential announcements, UN climate change conferences, climate change-related flood deaths, warning about melting glaciers in China's Qilian mountains, and rising climate concerns regarding bitcoin mining, among many others. We find that TC-CPU can predict future US climate uncertainty and attention measures while US measures do not predict Chinese climate change measures. Moreover, TC-CU (TC-CPU) negatively predicts equity returns of small (value) firms. Finally, we find a decline in CO2 emissions in response to shocks to TC-CU.