摘要
银行间拆借市场是银行间短期资金流动的平台,是货币资产流动的载体,反映了市场对货币资产的需求状况。本文分析了影响银行间拆借市场交易强度的主要因素,包括度量货币立场的shibor利率,衡量股市交易状况的交易量、交易价格等。本文通过选取15家上市银行自2010年第一季度至2018第三季度报表中的拆借入业务等相关数据,利用信息熵原理来模拟构建上市银行交易网络图,得到代表银行拆借业务频率的网络中心度。通过使用VAR模型,测算了利率与股市波动对银行拆借业务发生频率之间的关系。研究结果表明利率水平上升对银行拆借业务的增长产生负向影响,而股市价格和股市交易量上升会刺激银行间的交易需求,可以说银行间拆借网络特征在一定程度上可以作为反应市场变化的指标。
Interbank market is a platform for short-term capital flow among banks and a carrier of monetary assets.It reflects the market demand for monetary assets.This paper analyzes the main factors affecting the trading intensity of the interbank market,which includes the shibor interest rate that measures the monetary stance,the trading volume and the trading price that measure the stock trading.This paper selects the lending business data of 15 listed banks from the first quarter of 2010 to the third quarter of 2018.It uses information entropy principle to simulate the construction of the trading network chart of listed banks.The network centrality representing the frequency of bank lending is obtained.The VAR model is used to calculate the relationship between interest rate and stock market volatility on the frequency of bank lending.The results show that the rise of interest rate has a negative impact on the growth of bank lending business,while the rise of stock market price and trading volume will stimulate the trading demand of banks.It can be said that the characteristics of interbank lending network reflect market changes to some extent.
作者
温小霓
杨铖
郑冠群
WEN XIAONI;YANG CHENG;ZHENG GUANQUN(School of Economics and Management,Xidian University,Xi'an 710071,China)
基金
我国整卷市场系统性关联风险识别与干预研究——基于投资者复杂网络结构视角，青年基金项目，基金编号：18YJC790233
陕西省金融学会课题：我国金融系统性风险测度及预警研究，管理单位：陕西省金融学会201708
关键词
信息熵
复杂网络
网络中心度
股市波动
VAR模型
information entropy
complex network
network centrality
stock market volatility
VAR model
