银行间流动性风险传染救助策略研究:多层网络与媒体情绪的交叉视角  

The rescue strategy of interbank liquidity risk contagion:The cross perspective of multilayer network and media sentiment

作　　者：王磊[1,2] 李守伟 陈庭强[1] 杨坤[2] WANG Lei;LI Shouwei;CHEN Tingqiang;YANG Kun(School of Economics and Management,Nanjing Tech University,Nanjing 211816,China;School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]南京工业大学经济与管理学院,南京211816 [2]东南大学经济管理学院,南京211189

出　　处：《系统工程理论与实践》2022年第3期678-700,共23页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71871115,71671037,71971111);江苏省第十六批“六大人才高峰”高层次人才培养项目(JY-004)。

摘　　要：从多层网络与媒体情绪的交叉视角构建内生性多层银行间流动性网络,进而构建银行间流动性风险传染救助策略模型,并仿真分析媒体情绪与救助策略交互作用下银行间流动性风险传染的演化特征.研究得到的主要结论有:在考虑媒体情绪的多层银行间流动性网络中,择优关联方式更有利于银行间流动性风险发生传染,而随机关联方式则有助于抑制银行间流动性风险大规模传染.但是,在单层银行间流动性网络中与之相反.相对于多层银行间流动性网络,单层银行间流动性网络可能高估实际流动性风险水平而非低估.在多层银行间流动性网络中,不仅能够通过综合调节媒体情绪因素达成大幅降低银行间流动性风险传染的目的,而且能够通过综合调节媒体情绪与救助策略因素实现快速抑制银行间流动性风险大幅传染的效果,同时通过综合调节救助策略因素能够更为有效实现银行间流动性风险快速消亡的目的.The cross perspective of multilayer network and media sentiment,this paper constructs endogenous multilayer inter-bank liquidity network,and then constructs rescue strategy model of inter-bank liquidity risk contagion,and simulates and analyzes the evolution characteristics of inter-bank liquidity risk contagion under the interaction of media sentiment and rescue strategy.The main conclusions are as follows:In the multilayer inter-bank liquidity network considering media sentiment,preferential correlation is more conducive to the occurrence of inter-bank liquidity risk contagion,while stochastic correlation is helpful to inhibit the large-scale inter-bank liquidity risk contagion.However,in the single-layer inter-bank liquidity network,the opposite is true.Compared with multilayer inter-bank liquidity network,single-layer interbank liquidity network may overestimate the actual level of liquidity risk rather than underestimate it.In the multilayer inter-bank liquidity network,not only can we achieve the purpose of reducing the contagion of inter-bank liquidity risk by comprehensively adjusting the media sentiment factors,but also can quickly restrain the large-scale contagion of inter-bank liquidity risk by comprehensively adjusting the factors of media sentiment and rescue strategy,and at the same time,through the comprehensive adjustment of the factors of rescue strategy,we can be more effectively realized the purpose of the rapid extinction of inter-bank liquidity risk.

关 键 词：媒体情绪 多层银行间网络 流动性风险传染 救助策略 

分 类 号：F830.3[经济管理—金融学]