Network efficiency analysis of Chinese inter-bank market

The inter-bank market network models are constructed based on the inter-bank credit lending relationships, and the network efficiency characters of the Chinese inter-bank market are studied. Since it is impossible to obtain the specific credit data among banks, this paper estimates the inter-bank lending matrix based on the partial information of banks. Thus, directed network models of the Chinese inter-bank market are constructed by using the threshold method. The network efficiency measures and the effects of random attacks and selective attacks on the global efficiency of the inter-bank network are analyzed based on the network models of the inter-bank market. Empirical results suggest that the efficiency measures are sensitive to the threshold, and that the global efficiency is little affected by random attacks, while it is highly sensitive to selective attacks. Properties such as inter-bank market network efficiency would be useful for risk management and stability of the inter-bank market.

中国银行间国债市场流动性黑洞的实证检验

本文对我国银行间国债市场流动性黑洞进行了理论分析和实证检验。理论分析表明,虽然市场参与主体范围不断扩大,但实际参与交易的市场交易成员仍具有较高的同质性。通过建立债券收益与交易量双变量自回归模型,利用银行间国债市场逐笔交易面板数据,对银行间国债市场流动性黑洞进行实证检验。结果表明:债券收益率和交易变化量均呈正向自相关关系,交易量指令流的变化导致债券当期收益率的反向变化,滞后的收益率对当期交易产生负向影响,我国银行间国债市场部分债券存在流动性黑洞。