[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]
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Network efficiency analysis of Chinese inter-bank market(
)
我国银行间市场的网络效率分析
)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
- 我国银行间市场的网络效率分析
- 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.
- 基于银行间信用拆借关系, 构建了银行间市场的网络模型, 研究了我国银行间市场的网络效率特征.由于无法获得具体的银行间信用拆借规模, 利用银行间市场部分信息估测了银行间信用拆借矩阵, 进而采用阈值法构建了我国银行间市场的有向网络模型.在银行间市场的网络模型基础上, 分析了我国银行间市场的网络效率指标性质以及随机性攻击和选择性攻击对银行间市场网络全局效率的影响.实证结果表明:银行间网络的效率指标对阈值非常敏感;银行间网络全局效率受随机性攻击影响不大, 但受选择性攻击影响较大.该结果有助于银行间市场的风险管理, 维护银行间市场的稳定.
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Memo
- Memo:
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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.