 How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an exampleHeng-Guo Zhang, Shihong Wang and Yuchi Xie The North American Journal of Economics and Finance, 2025, vol. 76, issue C Abstract: In this paper, the monetary policy frictions index is constructed based on financial news and the dynamic stochastic general equilibrium (DSGE) model is extended with machine learning. We theoretically analyze how news-driven monetary policy frictions affect the nonperforming loans of commercial banks. Furthermore, a monetary policy frictions volatility network is constructed with complex network to study the spillover effect of monetary policy frictions in the network. Finally, spatial econometric methods are employed to empirically examine the effect of news-driven monetary policy frictions on nonperforming loans. The results show that monetary policy frictions have a significant positive spatial effect on the nonperforming loans of Chinese commercial banks. Thus, the government is expected to increase information transparency in the transmission of monetary policy to reduce information asymmetry. Keywords: Dynamic stochastic general equilibrium model; Machine learning; Complex network; Spatial econometric methods; News-driven monetary policy frictions; Nonperforming loans (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400278x DOI: 10.1016/j.najef.2024.102353 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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