基于共同持有资产的银行间接关联网络研究

doi:10.16381/j.cnki.issn1003-207x.2019.11.003

Abstract

Abstract: Financial market is a complex system, where banks not only connect with each other through direct lending, but also establish indirect correlationvia the investment market.A large number of researches have suggested that network resulted from interbank loans has some common topological properties. As shown in this paper, indirect correlation network between banks based on common assets is also worthy of discussion. The correlation between assets is established through fire sale and portfolios diversification, and then the indirect correlation between banks is constructed according to the portfolios chosen by risk aversion (CRRA) utility function.The influence of banks' investment behavior, endogenous correlation between assets and fire sale of common assets on the extent of indirect correlation between assets are tested respectively.Then the indirect correlation network between banks is set up with consideration of all the factors mentioned above and planar maximally filtered graph is used to filter redundant information. The importance of systemic important banks in the indirect correlation network is demonstrated. The small world phenomenon and scale-free phenomenon are also found by analyzing the indirect correlation network. On one hand, the observation in this paper makes the relationship between banks more clearly. On the other hand, a new perspective is also provided for regulators to promote the stability of banking system.

Key words: common assets, fire sale, utility function, indirect correlation network

CLC Number:

F830

WANG Chao, HE Jian-min, MA Jing. Indirect Correlation Network between Banks Based on Common Assets[J]. Chinese Journal of Management Science, 2019, 27(11): 23-30.

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Indirect Correlation Network between Banks Based on Common Assets

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