Interbank contagion risk in China under an ABM approach for network formation

Lin, Shiqiang; Zhang, Hairui

doi:10.1111/eufm.12360

Cited by 3 publications

(1 citation statement)

References 52 publications

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“…The application of network theory in finance, which Quesnay introduced in 1758, has gained widespread acceptance in academic circles and is frequently used to explain economic phenomena within the financial system (Allen & Babus, 2011;. For example, the origin of the crisis in the Chinese financial sector was found through the analysis of the interbank network (Lin & Zhang, 2022). The volatility network also reveals the most influential market among G20 stock markets by calculating network centrality (W. Zhang et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

Boonpong,

Pheunsane

2023

ABAC J

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This research aimed to investigate the structure of the national economic networks in Japan, Thailand, and Vietnam, at different stages of stock exchange development. Daily return data from the Refinitiv database were used, along with excess returns calculated by subtracting short-term government bond yields from index returns in each country. Key influencers and those heavily impacted by the economic system, were identified by applying Granger causality analysis and the HITS algorithm to nine industry indices. The results showed that the industrial sector (INDUS) significantly influenced other sectors in Japan and Thailand and that the economic sectors most affected by other industries varied by country. These findings have implications for policymakers seeking to manage and mitigate potential economic impacts from influential industrial sectors and identify the industry groups most susceptible to potential crises. This study contributes to the existing literature on the topic, enhancing understanding of economic networks, while further research is still needed in different countries and at various stages of economic development to fully comprehend the intricacies of economic networks.

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Section: Introductionmentioning

confidence: 99%

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

Boonpong,

Pheunsane

2023

ABAC J

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Effect of financial contagion between real and financial sectors on asset bubbles: A two‐layer network game approach

Fan,

Xie,

Wang

et al. 2024

Manage Decis Econ

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Understanding the mechanism of asset bubble formation is important for maintaining financial stability and healthy functioning of the economic system. With gradual emphasis on the complex characteristics of financial markets, a new perspective for analyzing the emergence of asset bubbles is emerging: how to integrate the real economy with financial markets composed of heterogeneous individuals. In this study, we propose a two‐layer network game to investigate the impact of financial contagion between the real and financial sectors on asset bubbles. Among their interactions, shadow banking activities in both sectors increase the contagion risk across financial markets and construct a broader financial system. Both credit interactions and peer learning effects are captured in the network framework. Simulating relevant regulation policies, our experiments indicate that regulators should closely monitor returns on assets by setting an upper threshold. Financialization in the real sector significantly exacerbates the formation of asset bubbles, with medium‐level borrowing constraints minimizing bubble dynamics most effectively. The financialization practices of mature industries should be strictly regulated, while innovative industries should be allowed moderately flexible financing practices. The degree of friction within the financial market should be flexibly calibrated for financial institutions and genuine enterprises, aiming to mitigate systemic risks in the financial market while fostering robust growth in the real economy.

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A Holistic Journey into Systemic Risk: Theoretical Background, Transmission Channels and Policy Implications

Pacelli,

Cananà,

Chakraborti

et al. 2024

New Economic Windows

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Systemic risk represents a critical challenge in modern financial systems characterized by complex interconnections. This chapter comprehensively analyses systemic risk, exploring its measurement, models, determinants, interconnections, and the key variables influencing its dynamics. One of the central focuses of this chapter is to explore the transmission channels through which systemic risk propagates. By analyzing various channels, including contagion risk, credit risk, liquidity risk, market risk, operational risk, and macroeconomic risk, the chapter unveils the mechanisms through which disruptions can spread across financial institutions, markets, and economies. The interconnected nature of these channels is also emphasized to showcase the amplification of systemic risk. The interconnections between financial institutions and markets are crucial factors of systemic risk. We discuss the significance of network analysis and emphasize the importance of considering both visible and hidden (shadow) interconnections when assessing systemic risk. By identifying the vulnerabilities and interdependencies within the financial system, policymakers could then develop targeted measures to mitigate systemic risks. The chapter highlights the need for proactive monitoring, enhanced risk management practices, and coordinated regulatory efforts across jurisdictions. These policy implications could then strengthen the financial system’s resilience and reduce the likelihood of systemic crises.

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Interbank contagion risk in China under an ABM approach for network formation

Cited by 3 publications

References 52 publications

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

Effect of financial contagion between real and financial sectors on asset bubbles: A two‐layer network game approach

A Holistic Journey into Systemic Risk: Theoretical Background, Transmission Channels and Policy Implications

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