Does textual risk information from individual banks exacerbate systemic risk? Evidence from the Chinese banking system

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-07-29 DOI:10.1016/j.econmod.2025.107251

Zhinan Li , Yaqi Ren , Peilong Shen , Can Zhang

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Abstract

This paper investigates whether textual risk information from individual banks exacerbates systemic risk in the Chinese banking system. In doing so, it addresses an important gap in traditional financial risk theory in which the role of information dissemination in amplifying systemic risk is ignored. Using 2018–2022 data covering 24 Chinese listed commercial banks, we employ a panel fixed effects model to assess how each bank's textual risk information influences industry risk and systemic risk. We construct a novel textual risk information index based on online financial news and investor discussions. We find that textual risk information significantly affects the risk of the banking industry and exacerbates systemic risk. Further analysis demonstrates that asset size plays a limited role in differentiating the impact of risk information on systemic risk, which indicates that larger banks do not disclose enough risk information. These findings suggest an information-driven perspective for bank risk measurement and early warning in financial risk management.

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个别银行的文本风险信息是否加剧了系统风险？来自中国银行体系的证据

本文研究了来自单个银行的文本风险信息是否加剧了中国银行体系的系统性风险。在此过程中，它弥补了传统金融风险理论中的一个重要空白，即忽视了信息传播在放大系统性风险中的作用。利用2018-2022年24家中国上市商业银行的数据，我们采用面板固定效应模型来评估每家银行的文本风险信息对行业风险和系统性风险的影响。本文基于在线财经新闻和投资者讨论构建了一种新的文本风险信息指数。研究发现，文本风险信息对银行业风险有显著影响，并加剧了系统性风险。进一步分析表明，资产规模在区分风险信息对系统性风险的影响方面的作用有限，这表明规模较大的银行披露的风险信息不够。这些发现为银行风险测量和金融风险管理预警提供了信息驱动的视角。

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

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.