Earticle

초록

영어

This paper constructs interbank network based on the overnight interest rates of SHIBOR database. Direct friction and indirect friction of interbank network are defined and the influencing factors of friction are tested through panel data analysis. Results of panel regression show that four network centrality measurements of in degree, out degree, in degree and out degree all have significant effect on indirect friction, by contrast, only in degree and out degree have significant effect on direct friction. There are different effects under the condition of different samples. The results indicate that network structure determined by price spread influences the relationship between banks and frictions.

목차

Abstract
 1. Introduction
 2. Interbank Network Construction
  2.1. Data Description
  2.2. Interbank Network
 3. Frictions of Interbank Network
  3.1. Definitions to Interbank Network Frictions
  3.2. Network Structure Affects Liquidity
  3.3. Interbank Network Frictions along Time
 4. Results of Panel Data Analysis
  4.1. Variable and Period Selection
  4.2. Unit Root Test
  4.3. Cointegration Test
  4.4. Model Selection and Regression Results
 5. Conclusion
 Acknowledgements
 References

키워드

저자

• Li Li [ School of Business Information Shanghai University of International Business and Economics Shanghai, China ]
• Chen Bing [ School of Finance Shanghai Lixin University of Commerce Shanghai, China ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  International Journal of u- and e- Service, Science and Technology

• 간기

  격월간

• pISSN

  2005-4246

• 수록기간

  2008~2016

• 십진분류

  KDC 505 DDC 605