中国银行间拆借网络结构实证研究  

Empirical Study on Chinese Interbank Network Structure

作　　者：范宏[1] 张燕飞 FAN Hong;ZHANG Yanfei(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051)

机构地区：[1]东华大学旭日工商管理学院

出　　处：《系统科学与数学》2019年第4期545-562,共18页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(71371046);东华大学中央高校基本科研业务费专项资金项目(19D110803)资助课题

摘　　要：银行间网络结构在银行系统的系统性风险研究中起着十分重要的作用.目前,大多数估算银行间拆借网络结构的研究均采用最大熵估计方法,该方法估算出的网络结构接近全连接的网络结构,从而会低估银行系统的系统性风险.为了估算出更接近中国真实银行系统的银行间拆借网络,文章首次采用最小密度法,用2016年256家中国银行的真实数据,对中国银行间的拆借网络进行了估算.然后从中介中心性和接近中心性以及度的分布等角度研究了中国银行间拆借网络的拓扑特性,并与其他国家的银行间拆借网络结构进行了比较分析.文章通过对实证数据的研究发现:首先中国的银行系统的拆借网络存在分层结构.其次,中国银行系统的银行间拆借网络结构属于无标度网络结构,但不同层中的银行的度的分布呈现不同指数的幂律分布.最后,在描述银行中心性的指标中,中介中心性能更好地描述中国的银行的重要程度,结果与入选“全球系统重要性银行”的中国的银行完全一致.The research of interbank network structure is a very important issue on the systemic risk of banking system.At present,most research on estimating the network structure of interbank network adopted the maximum entropy method,which can estimate a nearly complete network structure,thus underestimate the systemic risk of banking system.In order to estimate a network structure of the Chinese banking system,this paper applies minimum-density solution to produce a more realistic Chinese interbank network structure based on the empirical data of 256 Chinese banks.We analyze the characteristics of network structure of Chinese banking system based on various network measures such as directed graphs,centrality measures(betweenness centrality and closeness centrality),and degree distributions.Then we compare Chinese interbank network with other countries'and analyze the results.The main findings are the following.First,Chinese interbank network has a hierarchical structure.Second,the topology structure of Chinese interbank network exhibits scale-free network characteristics.In the different hierarchical structures,there are different power law exponent.Third,betweenness centrality is a better description of the importance of Chinese banking system than closeness centrality and the results of the betweenness centrality are completely consistent with the banks that are selected as global-System-Important-Banks(G-SIBs).

关 键 词：中国银行系统 网络拓扑结构 最小密度方法 中心性 度分布 无标度网络 

分 类 号：F832.5[经济管理—金融学]