基于复杂网络的银行同业拆借市场稳定性研究  

Stability of Inter-bank Markets Based on Complex Networks

作　　者：李守伟[1] 何建敏[1] 庄亚明[1] 施亚明[1] 

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《管理工程学报》2011年第2期195-199,共5页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(70671025);教育部人文社科研究项目(09YJA630021);江苏省自然科学项目(BK2009290);东南大学优秀博士学位论文基金资助(YBJJ1014)

摘　　要：基于复杂网络的视角,本文分析了我国银行间同业拆借市场的稳定性。首先基于银行同业拆借关系,采用阈值法构建了银行有向网络模型。在此基础上研究了随机性攻击和选择性攻击对银行网络最大弱成分的影响,进而分析了银行网络的稳定性,并构建相应的指标对比分析了随机性攻击和选择性攻击对银行网络稳定性影响的差异。研究结果表明:银行网络对于随机性攻击具有较高的稳定性,对于选择性攻击具有较低的稳定性,并且两种攻击方式对银行网络影响的差异大小与阈值有关。Complex inter-bank relationships are formed in the banking industry to facilitate fund flows between banks.Internal and external uncertainties can disrupt the normal operation of inter-bank networks and create the ＂domino＂effect on other banks in the network.Maintaining the stability of the banking system has been a core concern of financial regulators.This paper studies the impact of shocks on Chinese inter-bank network stability from the perspective of complex networks.First,we calculated the inter-bank lending size.Since we could not obtain detailed transactional information on each bank＇s inter-bank assets and liabilities,we calculated the inter-bank lending matrix based on the partial information of inter-bank markets.A bank＇s total assets and liabilities are regarded as the realization of marginal distribution function.The inter-bank credit lending matrix is regarded as the realization of the joint distribution function.A bank＇s total assets and liabilities are distributed among banks according to the observed distribution probability of the marginal distribution function.The inter-bank lending matrix can be calculated using the minimum entropy method.Second,we denoted banks in the inter-bank network as nodes in a network and the inter-bank credit lending relationships as edges between nodes.These rules allowed us to build directed banking network models.The elements of the matrix in the credit lending relationships between banks are positive.The diagonal elements of the matrix are zero which means that inter-bank credit lending relationships are reversible.In other words,a bank can be another bank＇s creditor or debtor.This paper adopted the threshold method to determine inter-bank credit lending relationships.Finally,the paper studied the effects of selective and random attacks on the stability of the banking network.The maximum component size of the banking network reflects network connectivity.We measured the stability of a banking network according to the change pace of the maximum component

关 键 词：银行同业拆借市场 稳定性 随机性攻击 选择性攻击 

分 类 号：F830[经济管理—金融学]