基于百度搜索指数的中国经济不确定性指标研究

Measuring Economic Uncertainty in China Based on Baidu Search Index

基于百度搜索指数,构造测度中国经济不确定性的全国和地级市层面的日度指标。与现有基于新闻报刊中关键词词频构造的指标相比,该指标对重大事件的响应更为及时,反应更为强烈且领先于现有指标。基于该指标的实证检验结果表明,该指标有助于预测股票市场收益率的变化,而现有指标则没有帮助;同时,用该指标刻画的经济不确定性增加时,企业投资强度降低,现金持有水平增加,特别是控制了企业利润因新冠疫情大幅下滑的因素后,这一结果依然成立,与相关理论的推论和常识相一致,而用其他现有指标则无法得出以上结果,说明该指标能有效刻画经济不确定性。通过利用网络即时数据和合理构建关键词词库,使得该指标不仅能及时有效地刻画经济不确定性,而且能刻画地区经济不确定性的差异,为与经济不确定性相关的研究提供了方法论参考。

This paper proposes a daily measure of economic uncertainty(EU)in China based on Baidu search index.Compared with previous EU measures based on newspapers,The new EU measure responds more promptly and strongly to major events.Granger causality tests indicate that our new EU measure precedes indicators.The new EU measure significantly predicts stock market returns,outperforming existing indicators in this aspect.Moreover,we assess the effectiveness of our measure from the perspective of firm investment decisions.Consistent with theoretical research findings,we find that when economic uncertainty increases,firms significantly reduce investment and increase cash holdings.Overall,compared with existing measures,this measure can reflect economic uncertainty more timely and effectively.By providing such a measurement,we contribute to the reduction of risks associated with economic uncertainty and the promotion of stable economic development.