The Co-Movements of Credit Default Swap Spreads in China

Wang, Xiaoxuan; Wang, Xinjie; Zhao, Suyang

doi:10.1080/1540496x.2022.2149260

Emerging Markets Finance and Trade

2022

DOI: 10.1080/1540496x.2022.2149260

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The Co-Movements of Credit Default Swap Spreads in China

Xiaoxuan Wang

Xinjie Wang

Suyang Zhao

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2024

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Cited by 1 publication

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Measuring systemic risk in China: a textual analysis

Ma,

Li,

Pan

et al. 2024

CFRI

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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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Measuring systemic risk in China: a textual analysis

Ma,

Li,

Pan

et al. 2024

CFRI

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

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The Co-Movements of Credit Default Swap Spreads in China

Cited by 1 publication

References 38 publications

Measuring systemic risk in China: a textual analysis

Measuring systemic risk in China: a textual analysis

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