EconPapers    
Economics at your fingertips  
 

Reconstruction of Interbank Network using Ridge Entropy Maximization Model

Yuichi Ikeda and Hidetoshi Takeda

Papers from arXiv.org

Abstract: We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed reconstruction model from 2000 to 2016. The observed sparsity of the interbank network is successfully reproduced. We examine the characteristics of the reconstructed interbank network by calculating important network attributes. We obtain the following characteristics, which are consistent with the previously known stylized facts. Although we do not introduce the mechanism to generate the core and peripheral structure, we impose the constraints to consider the sparsity that is no transactions within the same bank category except for major commercial banks, the core and peripheral structure has spontaneously emerged. We identify major nodes in each community using the value of PageRank and degree to examine the changing role of each bank category. The observed changing role of banks is considered a result of the quantitative and qualitative monetary easing policy started by the Bank of Japan in April 2013.

Date: 2020-01, Revised 2021-07
New Economics Papers: this item is included in nep-ban and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in a special issue dedicated to WEHIA 2019 of the Journal of Economic Interaction and Coordination

Downloads: (external link)
http://arxiv.org/pdf/2001.04097 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2001.04097

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2021-07-09
Handle: RePEc:arx:papers:2001.04097