Text Spillover: Measuring connectedness of financial institutions based on news text data

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-11-02 DOI:10.1016/j.najef.2024.102307

Konstantin Klaucke

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引用次数: 0

Abstract

The interconnectedness of financial institutions can facilitate the contagion of financial crises and poses significant risks to financial stability. While well-established econometric spillover measures exist, they are usually based on numerical data, which may not always be available or timely. This paper explores the feasibility of using text data analysis as an alternative measure of interconnectedness between financial institutions. A novel news-based spillover measure is constructed and applied to a system of five banks, using an up-to-date dataset of nearly 47,000 news articles. The results of this text spillover index are compared to the Diebold-Yilmaz spillover index for validation. The findings indicate that text data analysis can provide valuable insight into the interconnectedness of financial institutions and substantiate the underlying hypothesis that the co-occurrence of actors in news articles allows direct conclusions about their connectedness. This enables new types of analysis and extends spillover measures to a wider range of actors.

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文本溢出：基于新闻文本数据衡量金融机构的关联性

金融机构之间的相互关联会促进金融危机的蔓延，并对金融稳定构成重大风险。虽然已有成熟的计量经济学溢出效应测量方法，但它们通常基于数字数据，而数字数据并不总是可用或及时的。本文探讨了使用文本数据分析作为衡量金融机构之间相互联系的替代方法的可行性。本文利用一个包含近 47,000 篇新闻报道的最新数据集，构建了一种基于新闻的新型溢出衡量方法，并将其应用于由五家银行组成的系统。该文本溢出指数的结果与 Diebold-Yilmaz 溢出指数进行了比较验证。研究结果表明，文本数据分析可以为了解金融机构之间的相互联系提供有价值的见解，并证实了一个基本假设，即通过新闻文章中参与者的共同出现可以直接得出他们之间的联系。这使得新类型的分析成为可能，并将溢出测量扩展到更广泛的参与者。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.