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Bank multiplex networks and systemic risk

Author

Listed:
  • Li, Shouwei
  • Liu, Min
  • Wang, Lei
  • Yang, Kun

Abstract

Considering the difference in the maturity of interbank lending, this paper proposes a multiplex network model of banks with an arbitrary structure, and then conducts simulation analysis of systemic risk. First, we find that with the increase of the net worth, systemic risk presents a nonlinear decreasing trend. Second, the effect of systemic risk in most cases increases with the increase of the lending scale, only the long-term effect of systemic risk is negatively correlated with the short-term lending scale. Finally, with the increase of the average degree of a single-layer network, systemic risk shows a decreasing trend on the whole.

Suggested Citation

  • Li, Shouwei & Liu, Min & Wang, Lei & Yang, Kun, 2019. "Bank multiplex networks and systemic risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 533(C).
    • Handle: RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311768
    DOI: 10.1016/j.physa.2019.122039
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    Citations

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    Cited by:

    1. Monnet, Eric & Velde, François R., 2020. "Money, Banking, and Old-School Historical Economics," CEPR Discussion Papers 15348, C.E.P.R. Discussion Papers.
    2. Le, Richard & Ku, Hyejin, 2022. "Reducing systemic risk in a multi-layer network using reinforcement learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).
    3. Jiang, Shanshan & Fan, Hong, 2021. "Systemic risk in the interbank market with overlapping portfolios and cross-ownership of the subordinated debts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).

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