This study develops a new economic uncertainty (EU) index based on Chinese newspapers by addressing the media coverage bias of existing measures. The developed index refines the existing methods on measuring uncertainty by taking special characteristics of China into consideration, which turns...

In this paper, we study systemic risk in China using information from credit default swap (CDS) data of Chinese firms. We find a large time variation in CDS spreads. More importantly, firms’ CDS spreads co-move with each other and the first three principal components explain 94% of the...