Measuring systemic risk in China: a textual analysis
Abstract
Purpose
The purpose of this paper is to construct an index for systemic risk in China.
Design/methodology/approach
This 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.
Findings
SRIC 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/value
The paper construct an index of systemic risk based on the information extracted from newspaper articles. This approach is new to the literature.
Keywords
Acknowledgements
We are very grateful to Guanhao Feng for his helpful comments and for providing us with the newspaper data. Xinjie Wang acknowledges financial support from the National Natural Science Foundation of China (Grant No. 72171107), the Southern University of Science and Technology (Grant No. Y01246110) and Shenzhen Stability Support Program Project (Project No. 20231121095510002).
Citation
Ma, W., Li, K., Pan, W.-F. and Wang, X. (2024), "Measuring systemic risk in China: a textual analysis", China Finance Review International, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/CFRI-06-2023-0155
Publisher
:Emerald Publishing Limited
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