How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an example

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI:10.1016/j.najef.2024.102353

Heng-Guo Zhang , Shihong Wang , Yuchi Xie

引用次数: 0

Abstract

In this paper, the monetary policy frictions index is constructed based on financial news and the dynamic stochastic general equilibrium (DSGE) model is extended with machine learning. We theoretically analyze how news-driven monetary policy frictions affect the nonperforming loans of commercial banks. Furthermore, a monetary policy frictions volatility network is constructed with complex network to study the spillover effect of monetary policy frictions in the network. Finally, spatial econometric methods are employed to empirically examine the effect of news-driven monetary policy frictions on nonperforming loans. The results show that monetary policy frictions have a significant positive spatial effect on the nonperforming loans of Chinese commercial banks. Thus, the government is expected to increase information transparency in the transmission of monetary policy to reduce information asymmetry.

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新闻驱动的货币政策摩擦如何影响不良贷款？——以中国商业银行为例

本文基于财经新闻构建了货币政策摩擦指数，并用机器学习对动态随机一般均衡模型进行了扩展。本文从理论上分析了新闻驱动的货币政策摩擦对商业银行不良贷款的影响。在此基础上，利用复杂网络构建了货币政策摩擦波动网络，研究了网络中货币政策摩擦的溢出效应。最后，运用空间计量经济学方法实证检验了新闻驱动的货币政策摩擦对不良贷款的影响。结果表明，货币政策摩擦对我国商业银行不良贷款具有显著的正空间效应。因此，期望政府在货币政策的传导中提高信息透明度，以减少信息不对称。

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.