银行间网络连接倾向异质性与风险传染

Inter-bank Network Connectivity Heterogeneity and Risk Contagion

本文研究了银行间网络连接倾向的异质性,以及其对风险传染和系统性风险的影响。首先,研究发现连接倾向异质性会使银行间网络形成群落结构。其次,通过构造具有群落结构的网络,反映连接倾向异质性。并运用模拟对比实验,揭示连接倾向异质性对风险传染与系统性风险的影响规律。最后,研究结果表明,连接倾向异质性导致银行更倾向于群落内部间借贷,使得群落内部的银行间联系更加紧密。因此,当发生局部危机时,连接倾向异质性会导致群落内部更容易形成风险传染,但风险也很难传染到群落外。

This paper studies the heterogeneity of inter-bank network connectivity, and its impact on risk contagion and systemic risk. First of all, it is found that the heterogeneity of the connection forms the inter-bank network into a community structure. Secondly, by constructing the network with community structure, the heterogeneity of the connection tendency can be reflected. The influence of the heterogeneity of the connection tendency on the risk contagion and systemic risk is revealed by the simulation and contrast experiment. Finally, the research results show that banks tend to borrow more fund from the community because of the heterogeneity of the connection tendency. Such bank behavior makes a more fasten inter-bank relationship inside the community. Therefore, when a local crisis occurs, the heterogeneity of the connection tends to lead to higher risk of contagion inside the community. However, it is also very difficult for the risk contagion to spread outside the community.