| 中国金融机构的系统重要性及系统性风险传染机制分析——基于复杂网络的视角 |
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| 引用本文： | 欧阳红兵,刘晓东. 中国金融机构的系统重要性及系统性风险传染机制分析——基于复杂网络的视角[J]. 中国管理科学, 2015, 23(10): 30-37. DOI: 10.16381/j.cnki.issn1003-207x.2015.10.004 |
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| 作者姓名： | 欧阳红兵 刘晓东 |
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| 作者单位： | 华中科技大学经济学院, 湖北 武汉 430074 |
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| 基金项目： | 国家自然科学基金资助项目(70971051,71473092) |
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| 摘 要： | 采用最小生成树(MST)和平面极大过滤图(PMFG)方法构建和分析金融市场网络可以动态识别金融网络中节点的系统重要性,而利用最小生成树的唯一性可以全面而直观地显示系统性风险的传导机制。我们通过对银行间同业拆借市场进行的实证分析证明了该方法的有效性和稳健性,特别是最小生成树方法对系统性风险传导潜在路径的识别以及系统性风险的宏观审慎监管提供了直观而有效的手段。
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| 关 键 词： | 系统性风险 复杂网络 系统重要性 同业拆借市场 |
| 收稿时间： | 2013-10-14 |
| 修稿时间： | 2014-10-01 |
An Analysis of the Systemic Importance and Systemic Risk Contagion Mechanism of China's Financial Institutions Based on Network Analysis |
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| OUYANG Hong-bing,LIU Xiao-dong. An Analysis of the Systemic Importance and Systemic Risk Contagion Mechanism of China's Financial Institutions Based on Network Analysis[J]. Chinese Journal of Management Science, 2015, 23(10): 30-37. DOI: 10.16381/j.cnki.issn1003-207x.2015.10.004 |
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| Authors: | OUYANG Hong-bing LIU Xiao-dong |
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| Affiliation: | School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China |
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| Abstract: | Applying Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph approaches to construct and analyze financial market network can dynamically identify the systemic importance of the nodes in financial networks, and the uniqueness of MST can be used to analyze the contagion mechanism of systemic risk completely and straightforwardly. Using data from inter-bank borrowing market, the effectiveness and robustness of this method are proved. Particularly, MST provides an intuitive and effective approach to identify the potential contagion path of systemic risks as well as the macro prudential regulation systemic risks. |
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| Keywords: | systemic risk complex network systemic importance inter-bank borrowing market |
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