A dynamic network model for interbank market

Tao Xu, Jianmin He and Shouwei Li

Physica A: Statistical Mechanics and its Applications, 2016, vol. 463, issue C, 131-138

Abstract: In this paper, a dynamic network model based on agent behavior is introduced to explain the formation mechanism of interbank market network. We investigate the impact of credit lending preference on interbank market network topology, the evolution of interbank market network and stability of interbank market. Experimental results demonstrate that interbank market network is a small-world network and cumulative degree follows the power-law distribution. We find that the interbank network structure keeps dynamic stability in the network evolution process. With the increase of bank credit lending preference, network clustering coefficient increases and average shortest path length decreases monotonously, which improves the stability of the network structure. External shocks are main threats for the interbank market and the reduction of bank external investment yield rate and deposits fluctuations contribute to improve the resilience of the banking system.

Keywords: Interbank market; Agent behavior; Dynamic network; Risk preference; Shock (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:463:y:2016:i:c:p:131-138

DOI: 10.1016/j.physa.2016.07.013

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