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Predicting default rates by capturing critical transitions in the macroeconomic system

文献类型：期刊论文

作者Xing Kai2; Yang Xiaoguang1,2
刊名FINANCE RESEARCH LETTERS
出版日期2020
卷号32页码:11
关键词Corporate default Macro-indicator Critical transitions
ISSN号1544-6123
DOI10.1016/j.frl.2019.02.007
英文摘要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.
资助项目NSFC[71532013] ; NSFC[71431008] ; CPSF (Postdoctoral International Exchange Program)
WOS研究方向Business & Economics
语种英语
WOS记录号WOS:000518873000029
出版者ACADEMIC PRESS INC ELSEVIER SCIENCE
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/50955]  
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.Univ Chinese Acad Sci, 19 A Yuquan Rd, Beijing 100049, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, 55 Zhongguancun Rd, Haidian Dist 100190, 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.

入库方式： OAI收割

来源：数学与系统科学研究院

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