基于溢出效应的多级风险传染机理及实证研究

doi:10.16381/j.cnki.issn1003-207x.2020.1572

Abstract

CLC Number:

F830

FAN Hong, CHEN Nai-xi. Multi-stage Risk Contagion Mechanism and Empirical Study Based on Spillover Effect[J]. Chinese Journal of Management Science, 2023, 31(6): 39-48.

［1］ Allen F, Gale D. Financial contagion［J］. Journal of Political Economy, 2000, 108(1): 1-33.
［2］ Frexias X, Parigi B M, Rochet J C. Systemic risk, interbank relations and liquidity provision by the central bank［J］. Journal of Money, Credit and Banking, 2000, 32(3): 611-638.
［3］ Cifuentes R, Ferrucci G, Shin H S. Liquidity risk and contagion［J］. Journal of the European Economic Association, 2005, 3(2-3): 556-566.
［4］ Nier E, Yang Jing, Yorulmazer T, et al. Network models and financial stability［J］. Journal of Economic Dynamics & Control, 2007, 31(6): 2033-2060.
［5］ Upper C. Simulation methods to assess the danger of contagion in interbank markets［J］. Journal of Financial Stability, 2011, 7(3): 111-125.
［6］李守伟, 何健敏. 不同网络结构下银行间传染风险研究［J］. 管理工程学报, 2012, 26(4): 71-76.Li Shouwei, He Jianmin. Investigating interbank contagion risks under different network structures［J］. Journal of Industrial Engineering Management, 2012, 26(4): 71-76.
［7］邓超, 陈学军. 基于复杂网络的金融传染风险模型研究［J］. 中国管理科学, 2014, 22(11): 11-18.Deng Chao, Chen Xuejun. To study the model of financial contagion risk base on complex network［J］. Chinese Journal of Management Science, 2014, 22(11): 11-18.
［8］唐振鹏, 谢智超, 冉梦, 等. 网络视角下我国上市银行间市场系统性风险实证研究［J］. 中国管理科学, 2016, 24(S1): 489-494.Tang Zhenpeng, Xie Zhichao, Ran Meng, et al. System risk empirical study of China listed bank market under the network perspective［J］. Chinese Journal of Management Science, 2016, 24(S1): 489-494.
［9］ Battiston F, Nicosia V, Latora V. The new challenges of multiplex networks: measures and models［J］. European Physical Journal Special Topics, 2017, 226(3): 401-416.
［10］ Gai P, Kapadia S. Contagion in financial networks［J］. Proceedings: mathematical, Physical and Engineering Science, 2010, 466(2120): 2401-2423.
［11］ Acemoglu D, Ozdaglar A, Tahbaz-Salehi A. Systemic risk and stability in financial networks［J］. The American Economic Review, 2015, 105(2): 564-608.
［12］李智, 牛晓健. 基于内生网络的银行间传染风险特征［J］. 北京理工大学学报(社会科学版), 2017, 19(2): 57-71.Li Zhi, Niu Xiaojian. Characteristics of interbank contagion risk based on endogenous networks［J］. Journal of Beijing Institute of Technology (Social Science Edition), 2017, 19(2): 57-71.
［13］严冠, 刘志东. 基于贝叶斯方法的中国商业银行同业借贷网络中系统风险研究［J］. 中国管理科学, 2020, 28(4): 14-26.Yan Guan, Liu Zhidong. System risk in China’s interbank liability networks based on the bayesian methodology［J］. Chinese Journal of Management Science, 2020, 28(04): 14-26.
［14］ Boss M, Elsinger H, Summer M, et al. Network topology of the interbank market［J］. Quantitative Finance, 2004, 4(6): 677-684.
［15］ Gauthier C, He Zhongfang, Souissi M. Understanding systemic risk: the trade-offs between capital, short-term funding and liquid asset holdings［R］. Bank of Canada Working Paper, 2010.
［16］ Iori G, Jafarcy S, Padilla E. Systemic risk on the interbank market［J］. Journal of Economic Behavior and Organization, 2006, 61(4): 525-542.
［17］ 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.
［18］杨海军, 胡敏文. 基于核心-边缘网络的中国银行风险传染［J］. 管理科学学报, 2017, 20(10): 44-56.Yang Haijun, Hu Minwen. Risk contagion of Chinese interbank markets based on core-periphery network［J］. Journal of Management Science in China, 2017, 20(10): 44-56.
［19］马君潞, 范小云, 曹元涛. 中国银行间市场双边传染的风险估测及其系统性特征分析［J］. 经济研究, 2007(1): 68-78.Ma Junlu, Fan Xiaoyun, Cao Yuantao. Estimating bilareral exposures in the China interbank market: is there a systemic contagion［J］. Economic Research Journal, 2007(1): 68-78.
［20］ Censor Y, Zenios S A. Parallel optimization: theory, algorithms, and applications［M］. Oxford: Oxford University Press, 1997.
［21］ Demange G. Contagion in financial networks: a threat index［J］. Management Science, 2018, 64(2): 955-970.
［22］ Eisenberg L, Noe T. Systemic risk in financial system［J］. Management Science, 2001, 47(2): 236-249.
［23］ Anand K, Craig B R, Von Peter G. Filling in the blanks: network structure and interbank contagion［J］. Quantitative Finance, 2015, 15(4): 625-636.

[1]	Ranran Guo,Wuyi Ye,Xiaoquan Liu,Baiqi Miao. The Tail Dependence Between Commodity Futures Portfolios:Based on qpr-MIDAS Model [J]. Chinese Journal of Management Science, 2024, 32(10): 11-19.
[2]	Xintao Han,Xiaomin Zhang,Xing Liu. The Optimal Monetary Policy Choice in Cooperation with Macro-Prudential Management: Based on China’s DSGE Analysis [J]. Chinese Journal of Management Science, 2024, 32(10): 1-10.
[3]	Sicong Cheng,Tianyi Wang. Overnight Information and Option Pricing Model [J]. Chinese Journal of Management Science, 2024, 32(9): 1-10.
[4]	Xinyu Wu,Haibin Xie,Chaoqun Ma. Economic Policy Uncertainty and Renminbi Exchange Rate Volatility: Evidence from CARR-MIDAS Model [J]. Chinese Journal of Management Science, 2024, 32(8): 1-14.
[5]	Nan Xie,Haitao He,Yanju Zhou,Zongrun Wang. Research on Supply Chain Financial Decision Based on the Analysis of Central Government Project Subsidy under the Background of Rural Revitalization Subsidy [J]. Chinese Journal of Management Science, 2024, 32(8): 214-229.
[6]	Xiaojian Yu,Guopeng Liu,Jianlin Liu,Weilin Xiao. Stock Index Prediction Based on LSTM Network and Text Sentiment Analysis [J]. Chinese Journal of Management Science, 2024, 32(8): 25-35.
[7]	Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor [J]. Chinese Journal of Management Science, 2024, 32(8): 50-60.
[8]	Wenhua Yu,Xiangyang Ren,Kun Yang,Yu Wei. Asymmetric Effects of Infectious Diseases-related Uncertainty on the Volatility of Commodity Futures [J]. Chinese Journal of Management Science, 2024, 32(5): 254-264.
[9]	Yi Cai,Zhenpeng Tang,Junchuang Wu,Xiaoxu Du,Kaijie Chen. Research on the Application of GWO-SVR Algorithm in the Prediction of Reverse Mixed Data in Stock Market and Investment Strategy [J]. Chinese Journal of Management Science, 2024, 32(5): 73-80.
[10]	Zhongfei Li,Qi Zhou. An Industry Allocation Model Based on BL Model and Complex Network [J]. Chinese Journal of Management Science, 2024, 32(4): 1-13.
[11]	Xuetong Zhang,Weiguo Zhang,Chao Wang. Tail Risks in Developed and Emerging Markets——Test of Spillover, Contagion and Contagion Determinants [J]. Chinese Journal of Management Science, 2024, 32(4): 14-25.
[12]	Haiyuan Yin,Wenjuan Kou. Investor Sentiment Based on Naive Bayes Method and Its Impact on Stock Idiosyncratic Risk [J]. Chinese Journal of Management Science, 2024, 32(4): 38-47.
[13]	Xiaoyan Wang,Shenggang Yang,Kekun Zhang. Ultimate Ownership Structure and Entrusted Loan Behavior of Enterprises [J]. Chinese Journal of Management Science, 2024, 32(4): 48-57.
[14]	Aizhong Li,Ruoen Ren,Jichang Dong. Graph Network Risk Perception and Sparse Low-rank Portfolio Management Strategy [J]. Chinese Journal of Management Science, 2024, 32(4): 58-65.
[15]	Xinyu Wu,Xiaoqing Jiang,Xindan Li,Chaoqun Ma. The Pricing of SSE 50 ETF Options with Realized EGARCH-FHS Model [J]. Chinese Journal of Management Science, 2024, 32(3): 105-115.

Multi-stage Risk Contagion Mechanism and Empirical Study Based on Spillover Effect

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0