我国银行网络拓扑结构特征的实证研究被引量：14

Empirical Study on Topology Structure Characteristics of Chinese Banking Network

在线阅读下载PDF

导出

摘要复杂网络理论是研究银行系统内在结构和功能的有力工具,文章通过估测银行同业拆借矩阵,基于银行间信用拆借关系采用阈值法构建了银行有向网络模型,并研究了银行网络的基本拓扑统计性质和聚类结构。实证研究表明:银行网络中少数节点具有较高的出度与入度,银行网络具有较高的聚集系数。同时对银行网络互惠性和派系的分析能有效地挖掘银行网络内在结构信息,有助于理解银行网络形成机制以及银行间风险传染行为。 Complex network theory is a powerful tool to study the internal structure and function of the banking system. This paper estimates the interbank credit-lending matrix, and constructs the banking directed network using a threshold method based on interbank credit lending relationships. The paper also studies the basic topology properties and clustering structure of the banking network. Empirical studies results show that a few nodes have a large out-degree and in-degree, and it has a high clustering coefficient. The analysis of reciprocal property and cliques can effectively tap the information of banking networks＇ structure, which can help to understand the formation mechanism of banking networks and the contagion activitv of banking risk.

作者左振宇李守伟何建敏

机构地区东南大学经济管理学院

出处《华东经济管理》 CSSCI 2012年第2期98-101,共4页 East China Economic Management

基金国家自然科学基金项目(70671025 71071034)

关键词复杂网络拆借矩阵网络结构聚集系数 complex network credit-lending matrix network structure clustering coefficient

分类号 F120 [经济管理—世界经济]

作者简介左振宇（1978-），男，湖南邵阳人，博士研究生，研究方向：复杂系统；李守伟（1984-），男，安徽蚌埠人，讲师，博士，研究方向：复杂网络，金融风险分析；何建敏（1956-），男，江苏无锡人，教授，博士生导师，研究方向：金融工程与风险管理。

引文网络
相关文献

参考文献21

1Allen F, Gale D. Financial Contagion [J]. Journal of Political Economy, 2000, 108(1): 1-33.
2Cassar A, Duffy N. Contagion of Financial Crises under Local and Global Networks [C]//Luna F, Perrone A. Agent-Based Methods in Economics and Finance: Simulations. Netherlands, Kluwer Academic Publishers, 2001 : 111-130.
3Iori G, Jafarey S. Criticality in a Model of Banking Crises [J]. Physica A: Statistical Mechanics and Its Applications, 2001, 299(1/2):205-212.
4Iori G, Jafarey S, Padilla F G. Systemic Risk on the lnterbank Market [J]. Journal of Economic Behavior & Organization, 2006,61 (4): 525-542.
5Gai P, Kapadia S. Contagion in Financial Networks [R]. Bank of England Working Paper, 2007.
6Nier E. Network Models and Financial Stability [J ]. Journal of Economic Dynamics and Control, 2007,31 (6): 2033-2060.
7Georga C P, Poschmannb J. Systemic Risk in a Network Model of Interbank Markets with Central Bank Activity [J ]. Jena Economic Research Papers, 2010,4(1): 1-24.
8Souma W, Fujiwara Y, Aoyama H. Complex Networks and Economics [J]. Physica A: Statistical Mechanics and its Applications, 2003,324(1/2): 596-401.
9Inaoka H, Takayasu H, Shimizu T, et al. Self-similarity of Banking Network [J]. Physica A: Statistical Mechanics and its Applications, 2004 ;339(3/4): 621-634.
10Boss-M, Elsinger H, Summer M, et al. Network Topology of the Interbank Market [J]. Quantitative Finance, 2004, 4(6): 677-684.

二级参考文献4

1Boss M,Elsinger H.Network topology of the interbank market[J].Quantitative Finance,2004,4:677-684.
2Souma W,Fujiwara Y,Aoyama H.Complex networks and economics[J].Physica A,2003,324(1-2):396-401.
3Inaoka H,Takayasu H,Shimizu T.Self-similarity of banking network[J].Physica A,2004,339(3-4):621-634.
4Barabási A L,Albert R.Emergence of scaling in random networks[J].Science,1999,286(5439):509-512.