[1] Li Shouwei, He Jianmin, Zhuang Yaming,. Network efficiency analysis of Chinese inter-bank market [J]. Journal of Southeast University (English Edition), 2010, 26 (3): 494-497. [doi:10.3969/j.issn.1003-7985.2010.03.025]

Copy

Network efficiency analysis of Chinese inter-bank market()

Share：

Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:

26

Issue:

2010 3

Page:

494-497

Research Field:

Economy and Management

Publishing date:

2010-09-30

Info

Title:

Network efficiency analysis of Chinese inter-bank market

Author(s):

Li Shouwei;  He Jianmin;  Zhuang Yaming

School of Economics and Management, Southeast University, Nanjing 211189, China

Keywords:

inter-bank market;  network efficiency;  attack

PACS:

F830

DOI:

10.3969/j.issn.1003-7985.2010.03.025

Abstract:

The inter-bank market network models are constructed based on the inter-bank credit lending relationships, and the network efficiency characters of the Chinese inter-bank market are studied. Since it is impossible to obtain the specific credit data among banks, this paper estimates the inter-bank lending matrix based on the partial information of banks. Thus, directed network models of the Chinese inter-bank market are constructed by using the threshold method. The network efficiency measures and the effects of random attacks and selective attacks on the global efficiency of the inter-bank network are analyzed based on the network models of the inter-bank market. Empirical results suggest that the efficiency measures are sensitive to the threshold, and that the global efficiency is little affected by random attacks, while it is highly sensitive to selective attacks. Properties such as inter-bank market network efficiency would be useful for risk management and stability of the inter-bank market.

References:

[1] Wattz D J, Strogatz S H. Collective dynamics of small world networks [J]. Nature, 1998, 393(6684): 440-442.
[2] Barabasi A L, Albert R. Emergence of scaling in random networks [J].Science, 1999, 286(5439): 509-512.
[3] Boginski V, Butenko S, Pardalos P M. Statistical analysis of financial networks [J]. Computational Statistics and Data Analysis, 2005, 48(2): 431-443.
[4] Bonanno G, Caldarelli G, Lillo F, et al. Networks of equities in financial markets [J]. The European Physical Journal B: Condensed Matter and Complex Systems, 2004, 38(2): 363-371.
[5] Huang W Q, Zhuang X T, Yao S. A network analysis of the Chinese stock market [J]. Physica A: Statistical Mechanics and Its Applications, 2009, 388(14): 2956-2964.
[6] Gatti D. Business fluctuations in a credit-network economy [J]. Physica A: Statistical Mechanics and Its Applications, 2006, 370(1): 68-74.
[7] Boss M, Elsinger H, Summer M, et al. Network topology of the inter-bank market [J]. Quantitative Finance, 2004, 4(6): 677-684.
[8] Iori G, De Masi G, Precup O V, et al. A network analysis of the Italian overnight money market [J]. Journal of Economic Dynamics and Control, 2008, 32(1): 259-278.
[9] Cajueiro D O, Tabak B M. The role of banks in the Brazilian inter-bank market: does bank type matter?[J] Physica A: Statistical Mechanics and Its Applications, 2008, 387(27): 6825-6836.
[10] Allen F, Gale D. Financial contagion [J]. Journal of Political Economy, 2000, 108(1): 1-33.
[11] Freixas X, Parigi B M, Rochet J C. Systemic risk, inter-bank relations, and liquidity provision by the central bank [J]. Journal of Money, Credit and Banking, 2000, 32(3): 611-638.
[12] Aleksiejuk A, Ho Yst J A. A simple model of bank bankruptcies [J]. Physica A: Statistical Mechanics and Its Applications, 2001, 299(1/2): 198-204.
[13] Aleksiejuk A, Holyst J A, Kossinets G. Self-organized criticality in a model of collective bank bankruptcies [J]. International Journal of Modern Physics C: Physics and Computer, 2002, 13(3): 333-342.
[14] Müller J. Inter-bank credit lines as a channel of contagion [J]. Journal of Financial Services Research, 2006, 29(1): 37-60.
[15] Latora V, Marchiori M. Efficient behavior of small-world networks [J]. Physical Review Letters, 2001, 87(19): 198701.
[16] Latora V, Marchiori M. Economic small-world behavior in weighted networks [J]. The European Physical Journal B: Condensed Matter and Complex Systems, 2003, 32(2): 249-263.
[17] Latora V, Marchiori M. How the science of complex networks can help developing strategies against terrorism [J]. Chaos, Solitons and Fractals, 2004, 20(1): 69-75.
[18] Crucitti P, Latora V, Marchiori M, et al. Efficiency of scale-free networks: error and attack tolerance [J]. Physica A: Statistical Mechanics and Its Applications, 2003, 320(2): 622-642.
[19] Upper C, Worms A. Estimating bilateral exposures in the German inter-bank market: is there a danger of contagion? [J]. European Economic Review, 2004, 48(4): 827-849.
[20] Upper C. Using counterfactual simulations to assess the danger of contagion in inter-bank markets[R]. Basel, Switzerland: The Bank for International Settlements(BIS), 2007.

Memo

Memo:

Biographies: Li Shouwei(1984—), male, graduate; He Jianmin(corresponding author), male, professor, nj.jian@public1.ptt.js.cn.
Foundation items: The National Natural Science Foundation of China(No.70671025), the Scientific Research Foundation of Graduate School of Southeast University(No.YBJJ1014).
Citation: Li Shouwei, He Jianmin, Zhuang Yaming.Network efficiency analysis of Chinese inter-bank market[J].Journal of Southeast University(English Edition), 2010, 26(3):494-497.

Common functions