银行拆借偏好、网络结构演化与金融风险传染

doi:10.16381/j.cnki.issn1003-207x.2024.0135

摘要/Abstract

摘要：

银行间通过拆借关系形成错综复杂的网络结构，银行间拆借网络一方面可以实现银行间的资金融通；但另一方面，也为风险传染提供潜在的渠道。为了探究银行拆借偏好、银行网络演化与风险传染之间的关系，本文基于银行拆借偏好和银行资产负债表构建了动态的银行间拆借网络，分析了银行拆借偏好对银行网络结构及其演化的影响，研究了银行网络结构演化中的金融风险传染。仿真结果表明：（1）随着银行拆借偏好的增加，银行节点度（含出度和入度）的累积分布范围逐渐增大，银行拆借行为的活跃程度增强，网络聚集系数和网络效率提高，平均最短路径长度下降。（2）初始银行节点度（含出度和入度）的累积分布服从单段幂律分布，但随着时间推移，逐渐演化出两段幂律分布；（3）演化后的银行间拆借网络结构与初始阶段相比存在一定差异，不同银行之间的资产负债差异增大。当0<T<20时，随着网络中拆借关联的增加，聚集性和可达性增强；当T≥20时，银行间拆借网络的拓扑结构保持动态稳定。（4）银行拆借网络中的金融风险传染受银行拆借偏好的影响。当超过某个阈值时，增加银行拆借网络中的关联可以提升银行间风险共担的能力，但也为风险传染提供了更多可能的路径，增加了系统的脆弱性，并可能导致整个银行系统崩溃。（5）在银行间拆借网络演化过程中，随着银行拆借偏好系数的增加，网络的风险共担程度提高，系统的脆弱性增加。

关键词: 银行间市场, 银行拆借偏好, 网络结构演化, 金融风险传染

Abstract:

The interbank market plays a crucial role in the modern financial system. It serves as a platform for the exchange of bank liquidity， facilitating interbank lending relationships that enable the seamless flow of funds between banks. However， these lending linkages also expose banks to potential contagion risks. In the event of bank failures， interbank lending relationships can act as conduits for risk transmission， potentially triggering a cascade effect that threatens the stability of the entire banking system. Risk contagion has been examined within bank networks of various structures， as well as the impact of bank behaviors on this contagion. Nevertheless， further research is needed to understand how bank lending preferences influence network structure and evolution， how these preferences affect risk contagion， and how the evolution of interbank lending networks impacts financial risk contagion.To investigate the relationship between bank lending preferences， network evolution， and risk contagion， a dynamic exogenous interbank lending network model is introduced based on banks' lending behaviors and balance sheets. Four foundational hypotheses reflecting the formation and evolution of the actual interbank lending market are proposed. Using these hypotheses， an initial interbank lending market is constructed， the information pertaining is updated to bank assets and liabilities， and the interbank lending network according to established construction rules is developed and revised. Subsequently， the impact of bank lending preferences on the structure and evolution of the bank network is analyzed， as well as on financial contagion within the banking system.Values to the model parameters are assigned based on data from the China Financial Statistical Yearbook， the lending rates in the Chinese interbank market， and relevant literature. Simulation analysis is employed to investigate the relationships between bank lending preferences， bank network structure evolution， and financial risk contagion. The simulation results indicate that：（1） As lending behavior preferences increase， the distribution range of bank node degrees （both in and out） gradually expands， suggesting heightened lending activity in the interbank market. Consequently， the clustering coefficient and efficiency of the network improve， while the average shortest path length decreases. （2） The cumulative distribution of the degree of bank nodes follows a single-stage power law distribution initially but gradually evolves into a two-stage power law distribution over time. （3） The structure of the interbank lending network post-evolution differs from its initial state， with increased divergence in assets and liabilities among banks. For the interval 0<T<20， as lending linkages within the network increase， both aggregation and accessibility are enhanced. When T≥20， the topology of the interbank lending network remains dynamic yet stable. （4） Financial contagion within the interbank market is influenced by bank lending preferences. When a certain threshold is exceeded， an increase in interbank lending linkages can enhance risk-sharing capabilities among banks； however， it also creates additional pathways for risk contagion， potentially amplifying the system's vulnerability and leading to systemic collapse. （5） During the evolution of the interbank lending network， an increase in the interbank lending preference coefficient raises the volatility of the ratio of failed banks， enhances the risk-sharing capacity of the network， and concurrently increases systemic vulnerability.The research presented in this paper contributes to a deeper understanding of the relationship between bank lending preferences， dynamic bank network evolution， and financial risk contagion， thereby enriching the theoretical framework for bank network evolution and financial risk management. Moreover， the findings offer practical guidance for financial regulatory authorities. First， due to the randomness of external shocks in the banking system and the nonlinear characteristics of financial risk contagion， regulators must enhance risk monitoring within the banking sector， improve their ability to diagnose and identify financial risks， and intervene promptly when bank failures occur to prevent the spread of financial risks. Second， regulators should conduct regular stress tests on the banking system to monitor changes in asset quality in real time and adjust relevant regulatory indicators accordingly to bolster the banking system's resilience against risks. Third， in the event of a banking crisis， the central bank should maintain high liquidity levels in the interbank market through policy tools such as open market operations. This approach helps prevent asset prices from declining due to liquidity exhaustion and mitigates the risk of contagion by safeguarding liquidity channels within the banking system.

Key words: interbank market, bank lending preference, network structure evolution, financial risk contagion

中图分类号:

F830.9

徐涛,陈庭强. 银行拆借偏好、网络结构演化与金融风险传染[J]. 中国管理科学, 2026, 34(6): 1-12.

Tao Xu,Tingqiang Chen. Bank Lending Preference, Network Structure Evolution and Financial Risk Contagion[J]. Chinese Journal of Management Science, 2026, 34(6): 1-12.

图/表 9

图1

表1

模型参数描述、基准值及取值范围"

参数	描述	基准值	取值范围
$N$	银行间市场中初始银行数量	100	-
$τ$	幂律分布参数	1.87	-
$α$	初始权益占银行总资产的比率	0.1	-
$β$	银行间拆入占银行总资产的比率	0.15	-
$γ$	流动性资产占银行总资产的比率	0.05	-
$λ$	银行拆借偏好系数	0.1	[0.01, 10]
$γ k d$	存款波动程度系数	0.04	-
$θ$	资产价格对累计出售资产的敏感性系数	10^-6	-
$y$	外部投资收益率均值	0.06	-
$σ 1$	银行权益的标准差	0.01	-
$σ 2$	外部投资收益率标准差	0.01	-
$r d t$	银行存款基准利率	0.03	-
$r b$	银行拆放基准利率	0.02	-
$w e i g h t$	银行权益对利率的影响权重	0.5	[0.1, 0.9]
$ω$	风险溢价参数	0.01	[0.001, 1]
$ψ$	风险倾向参数	5	[1, 9]

表1

图2

图3

图4

图5

图6

图7

图8

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