具有随机网络结构的银行系统稳定性研究
The Random Network Structure and Systemic Risk in Interbank Market

作者: 宋姗 , 范宏 :东华大学旭日工商管理学院,上海;

关键词: 随机银行网络存款冲击连接度银行系统稳定性Random Interbank Network Deposits Shocks Connectivity Stability of Banking System

摘要: 随机网络是银行间拆借市场的重要特征,本文首先基于随机图构建了动态冲击强度下随机银行网络系统模型,随后对该模型进行了仿真研究,分析了不同存款冲击强度下银行系统的稳定性情况。结果表明,1) 存款冲击强度越大,银行系统越不稳定,银行之间的连接可以提高系统面临存款冲击时的稳健性;2) 随机银行网络系统在面临存款冲击时,存在最优连接度,且不同强度的存款冲击条件下,其最优连接度不同;3) 在最优连接度范围内,连接度越大,第一次倒闭越晚发生;此外,连接度越大的银行系统越容易发生银行倒闭的“雪崩现象”,因此长远来看,银行之间过度的连接不利于银行系统的稳定性。

Abstract: The random network is the important characteristics of the interbank market. Therefore, this paper uses the data of China interbank market to construct a random interbank network based on random graph. Then, based on the network constructed, the dynamical bank network system model is constructed. Considering the case of deposits shocks of the banks in the network system, we investigate the stability of random interbank network. The research results show that the random interbank network gets more unstable as deposits shocks increase while the connectivity among banks can make the network more stable. However, there is no monotonic linear relationship between connectivity and stability but an optimal connectivity for different deposits shocks. Within the optimal range of connectivity, the higher the connectivity is, the later the default occurs. Besides, banking system with high levels of connectivity tends to show avalanches, which means that excessive connectivity makes banking system unstable.

文章引用: 宋姗 , 范宏 (2016) 具有随机网络结构的银行系统稳定性研究。 管理科学与工程, 5, 167-176. doi: 10.12677/MSE.2016.54018

参考文献

[1] 陈国进, 马长峰. 金融危机传染的网络理论研究述评[J] . 经济学动态, 2010(2): 116 -120.

[2] Allen, F. and Gale, D. (2000) Financial Contagion. Journal of Political Economy, 108, 1-33.
https://doi.org/10.1086/262109

[3] Freixas, X., Parigi, B. and Rochet, J.C. (2000) Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank. Journal of Money, Credit and Banking, 32, 611-638.
https://doi.org/10.2307/2601198

[4] Upper, C. and Worms, A. (2004) Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion? European Economic Review, 48, 827-849.
https://doi.org/10.1016/j.euroecorev.2003.12.009

[5] Boss, M., Elsinger, H. and Summer, M. (2004) The Network Topology of the Interbank Market. Quantitative Finance, 4, 677-684.
https://doi.org/10.1080/14697680400020325

[6] Iori, G., Masi, G.D., Precup, O.V., et al. (2005) A Network Analysis of the Italian Overnight Money Market. Journal of Economic Dynamics & Control, 32, 259-278.
https://doi.org/10.1016/j.jedc.2007.01.032

[7] 高国华, 潘英丽. 基于资产负债表关联的银行系统性风险研究[J]. 管理工程学报, 2012, 26(4): 162-168.

[8] 隋聪, 迟国泰, 王宗尧. 网络结构与银行系统性风险[J]. 管理科学学报, 2014, 17(4): 57-70.

[9] Erdos, P. and Rényi, A. (1959) On Random Graphs. Publicationes Mathematicae Debrecen, 6, 290-297.

[10] Iori, G. (2006) Systemic Risk on the Interbank Market. Journal of Economic Behavior & Organization, 61, 525-542.
https://doi.org/10.1016/j.jebo.2004.07.018

分享
Top