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A dynamic network model for interbank market

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  • Xu, Tao
  • He, Jianmin
  • Li, Shouwei

Abstract

In this paper, a dynamic network model based on agent behavior is introduced to explain the formation mechanism of interbank market network. We investigate the impact of credit lending preference on interbank market network topology, the evolution of interbank market network and stability of interbank market. Experimental results demonstrate that interbank market network is a small-world network and cumulative degree follows the power-law distribution. We find that the interbank network structure keeps dynamic stability in the network evolution process. With the increase of bank credit lending preference, network clustering coefficient increases and average shortest path length decreases monotonously, which improves the stability of the network structure. External shocks are main threats for the interbank market and the reduction of bank external investment yield rate and deposits fluctuations contribute to improve the resilience of the banking system.

Suggested Citation

  • Xu, Tao & He, Jianmin & Li, Shouwei, 2016. "A dynamic network model for interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 131-138.
    • Handle: RePEc:eee:phsmap:v:463:y:2016:i:c:p:131-138
    DOI: 10.1016/j.physa.2016.07.013
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    5. Marnix Van Soom & Milan Van Den Heuvel & Jan Ryckebusch & Koen Schoors, 2019. "Loan Maturity Aggregation In Interbank Lending Networks Obscures Mesoscale Structure And Economic Functions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/952, Ghent University, Faculty of Economics and Business Administration.
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    12. Silva, Thiago Christiano & da Silva, Michel Alexandre & Tabak, Benjamin Miranda, 2017. "Systemic risk in financial systems: A feedback approach," Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 97-120.
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    14. Hong Fan & Chirongo Moses Keregero & Qianqian Gao, 2018. "The Application of Macroprudential Capital Requirements in Managing Systemic Risk," Complexity, Hindawi, vol. 2018, pages 1-15, January.
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    17. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).

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