Managerial Macroeconomic Perception and Systemic Risk in China

71 Pages Posted: 14 Mar 2024

See all articles by Peng Guo

Peng Guo

Central University of Finance and Economics (CUFE) - School of Finance

Fuwei Jiang

Xiamen University

Mengru Li

Central University of Finance and Economics (CUFE) - School of Finance

Yumin Liu

Central University of Finance and Economics (CUFE) - School of Finance

Date Written: December 30, 2023

Abstract

This paper constructs a managerial macroeconomic perception index based on the textual financial disclosures and examines its impact on systemic risk in China. We reveal a significant positive relationship between managerial macroeconomic perception, particularly the forward-looking managerial macroeconomic perception, and bank systemic risk. Our study show that managers with optimistic perception about macroeconomic conditions tend to engage in excessive risk-taking activities and increase the risk contagion among banks. Heterogeneous analyses suggest that the positive relationship between manager macroeconomic perception and systemic risk are more pronounced among banks that are non-state-owned, exclusively listed in A-shares, highly leveraged, or not considered systemically important. We also show that macroeconomic policy environment can mitigate the negative impact of managerial macroeconomic perception on systemic risk. These findings highlight the substantial role that managerial macroeconomic perception plays in shaping systemic risk within the banking sector.

Keywords: Managerial Macroeconomic Perception; Systemic Risk; Textual Analysis; Risk-taking

JEL Classification: D80; G21; G30

Suggested Citation

Guo, Peng and Jiang, Fuwei and Li, Mengru and Liu, Yumin, Managerial Macroeconomic Perception and Systemic Risk in China (December 30, 2023). Available at SSRN: https://ssrn.com/abstract=4679813 or http://dx.doi.org/10.2139/ssrn.4679813

Peng Guo (Contact Author)

Central University of Finance and Economics (CUFE) - School of Finance

Shahe Higher Education Park
Changping District
Beijing, 102206
China

Fuwei Jiang

Xiamen University ( email )

Xiamen, Fujian 361005
China

Mengru Li

Central University of Finance and Economics (CUFE) - School of Finance ( email )

China

Yumin Liu

Central University of Finance and Economics (CUFE) - School of Finance ( email )

Beijing
China

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