衡量中国的系统性风险：文本分析

IF 9 1区经济学 Q1 BUSINESS, FINANCE

China Finance Review International Pub Date : 2024-02-15 DOI:10.1108/cfri-06-2023-0155

Wenbo Ma, Kai Li, Wei-Fong Pan, Xinjie Wang

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引用次数: 0

摘要

本文利用中国 26 家主要报纸的文本信息，编制了中国系统性风险指数（SRIC）。我们的指数从与中国经济相关的 21 个主题中衡量系统性风险，并对系统性风险的来源进行了说明。研究结果SRIC 可以有效预测 GDP、实体经济融资总量和采购经理人指数的变化。此外，SRIC 还能解释其他几个常用的宏观经济指标。我们的风险度量为政策制定者管理系统性风险提供了有用的监测工具。这种方法在文献中尚属首次。

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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Measuring systemic risk in China: a textual analysis

PurposeThe purpose of this paper is to construct an index for systemic risk in China.Design/methodology/approachThis paper develops a systemic risk index for China (SRIC) using textual information from 26 leading newspapers in China. Our index measures the systematic risk from 21 topics relating to China’s economy and provides narratives of the sources of systemic risk.FindingsSRIC effectively predicts changes in GDP, aggregate financing to the real economy and the purchasing managers’ index. Moreover, SRIC explains several other commonly used macroeconomic indicators. Our risk measure provides a helpful monitoring tool for policymakers to manage systemic risk.Originality/valueThe paper construct an index of systemic risk based on the information extracted from newspaper articles. This approach is new to the literature.

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来源期刊

China Finance Review International BUSINESS, FINANCE-

CiteScore

12.40

自引率

1.20%

发文量

112

期刊介绍： China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.