银行间市场风险传染与网络结构演化研究

The Contagion in Interbank Market Risk and the Evolution of Network Structure

文章构建了银行间市场动态网络结构模型和银行间市场多渠道风险传染模型,分析了风险传染环境下银行间市场网络结构演化特征以及流动性效应和挤兑效应对银行间市场网络结构的影响。仿真结果表明:构建的银行间市场网络既是无标度网络又是小世界网络;在网络演化过程中,网络的拓扑特征保持稳定;流动性效应和挤兑效应的增强对网络拓扑特征的影响较小,但增加了银行间市场网络的不稳定性。

This paper introduces a dynamic network and multi-channel contagion model for interbank market.The evolutionary features of interbank market network under contagion environment are analyzed and the effects of liquidity and run on the stability of interbank market network are investigated.Simulation results demonstrate that the constructed interbank market network has both scale-free and small-world features.In the evolution process of the network,the topology characteristics remain steady.The increasing liquidity and run effects have little impact on the topology features of the network,but could amplify the fragility of the network.