Research on Cross-contagion of Bank Risk Through Double Channels
With the increasing downward pressure of domestic economy,the research of bank risk contagion has been paid more and more attention.Financial security is a key component of national security,and preventing and controlling financial risks is a top priority for the economy.With the development of the inter-bank market and the advancement of Internet technology and mo-bile communication technology,the inter-bank lending market plays an important role in financial stability,monetary policy trans-mission and market supervision,and its scale is generally on the rise,at the same time,inter-bank information transmission has become faster and more convenient.This has led to the intensification of risk transmission based on inter-bank lending channels and information spillover channels,and financial risks can spread to a wider scope along the dual channels,and it is more realis-tic and convincing to study the contagion of financial risks along the dual channels.Based on the inter-bank lending data and stock yield data from 2017 to 2021,this paper studies the cross-contagion of inter-bank financial risks along inter-bank lending channels and information spillover channels and dual-channel cross-infection,and based on the principle of maximum entropy and the construction of the fully connected network structure and center-edge network structure of inter-bank financial risk conta-gion,it is found through simulation that considering only one infection channel will underestimate the risk contagion effect of banks,that is,whether under the fully connected network structure or under the hub-edge network structure.The core capital loss rate of the banking system under the dual channels is greater than the core capital loss rate of the banking system under the inter-bank lending channel.The hub-edge network structure is more realistic,and compared with the fully connected network structure,the core capital loss rate of the banking system caused by the central bank under the center-edge network structure is higher,while the core capital loss rate of the banking system caused by the edge bank under the center-edge network structure is lower.
Complex networksRisk of contagionDual channelsNetwork structure
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