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基于银行间信用拆借关系,构建了银行间市场的网络模型,研究了我国银行间市场的网络效率特征.由于无法获得具体的银行间信用拆借规模,利用银行间市场部分信息估测了银行间信用拆借矩阵,进而采用阈值法构建了我国银行间市场的有向网络模型.在银行间市场的网络模型基础上,分析了我国银行间市场的网络效率指标性质以及随机性攻击和选择性攻击对银行间市场网络全局效率的影响.实证结果表明:银行间网络的效率指标对阈值非常敏感;银行间网络全局效率受随机性攻击影响不大,但受选择性攻击影响较大.该结果有助于银行间市场的风险管理,维护银行间市场的稳定.
Based on the inter-bank credit lending relationship, this paper constructs a network model of inter-bank market and studies the network efficiency characteristics of China’s inter-bank market.Because no specific inter-bank credit lending scale can be obtained, the inter-bank market information is used to estimate the interbank credit Then use the threshold method to construct a directional network model of China’s inter-bank market.Based on the network model of inter-bank market, this paper analyzes the nature of network efficiency indicators and the impact of random attacks and selective attacks on the bank The results show that the efficiency index of inter-bank network is very sensitive to the threshold, the global efficiency of inter-bank network is not affected by random attacks, but it is more affected by selective attacks.The results are helpful to Risk management in the inter-bank market and safeguarding stability in the inter-bank market.