KMS Of Academy of mathematics and systems sciences, CAS
Predicting default rates by capturing critical transitions in the macroeconomic system | |
Xing Kai1; Yang Xiaoguang1,2 | |
2020 | |
发表期刊 | FINANCE RESEARCH LETTERS |
ISSN | 1544-6123 |
卷号 | 32页码:11 |
摘要 | We employ a method of capturing critical transitions of macroeconomic system to predict corporate default. The method is originally developed for anticipating critical transitions in complex natural systems. Based on this method, we construct macro-indicators for capturing incipient changes in the macroeconomic system by using different sets of economic factors, and then we use these indicators to predict corporate default in the US industrial sector. Empirical results show that the indicator constructed by exclusively using leading factors outperforms the other indicators in terms of predicting power. This study implies that the method proposed in natural sciences can be extended efficiently to the field of economics, and it is not the interaction of more variables but the interaction of the leading variables to contain more important information. |
关键词 | Corporate default Macro-indicator Critical transitions |
DOI | 10.1016/j.frl.2019.02.007 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | NSFC[71532013] ; NSFC[71431008] ; CPSF (Postdoctoral International Exchange Program) |
WOS研究方向 | Business & Economics |
WOS类目 | Business, Finance |
WOS记录号 | WOS:000518873000029 |
出版者 | ACADEMIC PRESS INC ELSEVIER SCIENCE |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/50956 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Yang Xiaoguang |
作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, 55 Zhongguancun Rd, Haidian Dist 100190, Peoples R China 2.Univ Chinese Acad Sci, 19 A Yuquan Rd, Beijing 100049, Peoples R China |
推荐引用方式 GB/T 7714 | Xing Kai,Yang Xiaoguang. Predicting default rates by capturing critical transitions in the macroeconomic system[J]. FINANCE RESEARCH LETTERS,2020,32:11. |
APA | Xing Kai,&Yang Xiaoguang.(2020).Predicting default rates by capturing critical transitions in the macroeconomic system.FINANCE RESEARCH LETTERS,32,11. |
MLA | Xing Kai,et al."Predicting default rates by capturing critical transitions in the macroeconomic system".FINANCE RESEARCH LETTERS 32(2020):11. |
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