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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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.