 Media sentiment, deposit stability and bank systemic risk: Evidence from ChinaYi Fang, Qi Wang, Yanru Wang and Yan Yuan International Review of Economics & Finance, 2024, vol. 91, issue C, 1150-1172 Abstract: Using textual analysis techniques, we construct the unique bank-level media sentiment index in China with the data of news narratives to examine its driving effect on bank systemic risk with a distinction between systemic linkage and bank tail risk. We find consistent and robust evidence that negative media sentiment tends to increase market-data-based systemic risk measures. The withdrawal of deposits due to the negative media sentiment forces banks to raise interbank lending, which increases the cost of their liability and encourages them to engage in risky and similar business, in hence enlarging both bank tail risk and systemic linkage. We also find that the negative media sentiment of banks increases systemic risk, mainly by improving system linkage in the early stage, but mainly by improving bank tail risk in the later stage. Keywords: Media sentiment; Bank systemic risk; Systemic linkage; Bank tail risk; Deposit stability (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:reveco:v:91:y:2024:i:c:p:1150-1172 DOI: 10.1016/j.iref.2024.01.067 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.