Multi-channel Contagion in Dynamic interbank Market Network
Multi-channel Contagion in Dynamic interbank Market Network
复制标题
动态银行间市场网络中的多渠道传染
DOI：
10.1142/s0219525916500119
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发表时间：
2016-09
影响因子：
0.4
通讯作者：
Li Shouwei
中科院分区：
文献类型：
--
作者：
Xu Tao;He Jianmin;Li Shouwei
本文建立了一个基于银行代理人行为的动态银行间市场网络模型，分析了具有交易对手和流动性渠道的金融传染。然后，我们分析了动态性对银行间市场稳定性的影响，发现银行间市场的动态性能够增强银行间市场网络的弹性，这表明现有研究可能高估了传染效应。此外，我们还研究了在动态银行间市场网络中，当交易对手和流动性渠道同时活跃时，银行间市场传染的机制。具体而言，我们分别分析了银行资本化、银行间风险敞口、流动性资产和银行信贷偏好对银行体系稳定性的影响。首先，我们发现银行间市场流动性和存款波动会放大彼此对银行间市场网络弹性的负面影响。第二，资本化水平较高的银行往往对金融传染具有更强的抵御能力。第三，银行间风险敞口可能对银行间市场网络的韧性产生多重影响。第四，银行间市场网络的弹性是流动性资产比例的非单调函数。最后，我们发现银行信贷偏好与银行间市场弹性之间存在复杂的关系。
In this paper, a dynamic interbank market network model based on bank agent behaviors is developed to analyze financial contagion with counter-party and liquidity channels. Afterwards, we analyze the impact of dynamics on the stability of interbank market and find that dynamics of interbank market could enhance the resilience of the network, which suggests contagion might be overestimated in current studies. Moreover, we investigate the mechanism of contagion when counter-party and liquidity channels are both active in the dynamic interbank market network. Specifically, we analyze the effects of bank capitalization, interbank exposures, liquid assets, and bank credit lending preference on the stability of the banking system, respectively. First, we find that liquidity in interbank market and fluctuations of deposits could amplify the negative impact of each other on the resilience of interbank market network. Second, banks with higher capitalization level tend to be more resilient against financial contagion. Third, interbank exposures may have multiple effects on the resilience of interbank market network. Fourth, the resilience of interbank market network is a nonmonotonic function of percentage of liquid assets. Finally, we discover a complex relationship between bank credit lending preference and the resilience of interbank market.
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影响因子：
1.9
作者：
Asena Temizsoy;G. Iori;Gabriel Montes-Rojas
通讯作者：
Asena Temizsoy;G. Iori;Gabriel Montes-Rojas
影响因子：
1.9
作者：
G. Gabbi;G. Iori;S. Jafarey;James Porter
通讯作者：
G. Gabbi;G. Iori;S. Jafarey;James Porter
DOI：
10.1162/jeea.2004.2.6.1015
发表时间：
2003-09
期刊：
New York University Stern School of Business Research Paper Series
影响因子：
--
作者：
Franklin Allen;Douglas Gale
通讯作者：
Franklin Allen;Douglas Gale
影响因子：
2.8
作者：
Michael Manz
通讯作者：
Michael Manz
DOI：
10.2139/ssrn.2176080
发表时间：
2012-10
期刊：
Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal
影响因子：
--
作者：
F. Caccioli;Munik Shrestha;Cristopher Moore;J. Farmer
通讯作者：
F. Caccioli;Munik Shrestha;Cristopher Moore;J. Farmer