中国银行间同业拆借市场网络系统的研究——基于复杂网络方法的探索  

Mapping the China Interbank Market Network Based on Complex Network Theory

作　　者：牛晓健[1] 吕潇潇[1] NIU Xiaojian LU Xiaoxiao(School of Economics, Fudan University, Shanghai 200433, Chin)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《盐城工学院学报（社会科学版）》2016年第4期32-38,共7页Journal of Yancheng Institute of Technology（Social Science Edition）

基　　金：国家自然科学基金面上项目(71573051;71273064);2011年度上海市哲学社会科学规划课题(2011BJB005);2011年度上海市"曙光计划"项目(11SG09);<上海高等学校创新能力提升计划竞争性引导项目-上海国际型大都市建设的综合改革方案设计>;复旦大学中央高校基本科研业务费的支持

摘　　要：识别银行间同业拆借市场中系统重要性并进行相应监督管理,对提高金融市场稳定性、应对流动性危机等意义非凡。运用复杂网络理论,采用最大熵法则及阀值法,根据2013-2015年三年间中国银行同业拆借市场相关交易数据构建我国银行同业拆借网络,进行网络拓扑结构分析并定位网络关键成员。研究发现我国同业拆借银行网络呈现小世界网络模型特征,银行在网络中核心程度与银行现实规模对应;研究中定位了市场中系统重要性银行,并从网络结构特征出发对金融监管提出若干建议。Crucial as it is, interbank market has a profound influence on the resilience of the whole financial market when facing crisis, and it is equally important to identify the key players in the Interbank market so as to better monitor and regulate the whole system. We built the network model of Chinese interbank lending market in 2013 - 2015 by adopting basic ideas from Complex Network and Maximum Entropy Model. Complex Network is an effective approach to dig into the characteristics of complicated structures with substantial nodes and links. After analyzing the nature of the network we found that Chinese interbank lending network bears the features of Small-world network model. Furthermore, the ranking of banks in the networks is compatible with the ranking of assets of banks in real life. Besides, we successfully locate the key players in the network, and make policy suggestions accordingly.

关 键 词：复杂网络 同业拆借 最大熵 小世界网络 

分 类 号：F832[经济管理—金融学]