Systemic risk in bank-firm multiplex networks
Yifu Liu and
Finance Research Letters, 2020, vol. 33, issue C
We construct a bank-firm multiplex network to investigate systemic impacts of banks and firms, which includes the short-term borrowing layer and the long-term borrowing layer. According to the data from China, we find that DebtRank distributions in the short-term layer and the multiplex network are very similar; the DebtRank in the short-term layer is larger than that in the long-term layer on the whole; banks with large assets tend to have higher DebtRanks, but there are some medium-sized banks with high DebtRanks; firms with small assets tend to have higher DebtRanks; firms are the major contributors to systemic risk.
Keywords: Multiplex network; Debtrank; Systemic risk; Bank-firm system (search for similar items in EconPapers)
JEL-codes: C63 G21 G33 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301369
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