Predicting default rates by capturing critical transitions in the macroeconomic system

doi:10.1016/j.frl.2019.02.007

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	Predicting default rates by capturing critical transitions in the macroeconomic system
	Xing Kai 1; Yang Xiaoguang 1,2
	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.