核心边缘网络结构对银行系统稳定性影响研究

The CP Network Structure and Systemic Risk in Interbank Market

摘要: 银行间网络结构对银行系统的稳定性具有重要的影响，但目前的研究大多以随机网络结构来研究银行系统的稳定性，但是很多实证研究发现核心边缘网络是银行拆借市场的一种重要网络特征，因此本文构建核心边缘网络拓扑模型，然后建立动态演化的银行网络系统模型，从而研究核心边缘网络结构对银行系统稳定性的影响。结果表明：在边缘银行受到存款冲击的情形下，对比随机的网络结构，核心边缘的网络结构会使银行系统更稳定。在核心银行受到存款冲击的情形下，只有当连接度小并且核心银行总数少时，随机网络更稳定；当连接度小且核心银行总数大，或当连接度大时，核心边缘网络更稳定。

Abstract: The network topology structure of the interbank network has an important effect on the stability of bank system; most of the current researches study the effect of the random network on the stability of bank system. However many empirical investigations find that the core-periphery (CP) is an important network characteristic of the interbank market, therefore, the present paper constructs the CP network structure of the interbank market, and then constructs a dynamical evolutional bank network system model, furthermore studies the effect of CP network structure on the stability of the bank system. The research results show that when the periphery banks suffer from the deposits shocks, the CP network is more stable than the random network. However, when the core banks face the deposits shocks, there are three cases according to the connectivity of the banking system. In the case of the lower connectivity and small number of core banks, then the random network is more stable; in the case of the lower connectivity and big number of core banks, or in the case of the bigger connectivity, the CP network is more stable.