Research On Congation In Interbank Market And Control Strategies Based On The Integration Of Complex Network And Multi-Agent

Interbank market is an important part of the morden financial system.Complex network relationships are formed through interbank lending,payment and settlement,discount and guarantee.On one hand,complex debtor-creditor relationships between banks provide channels for interbank liquidity exchanges,but on the other hand,the exposure of the interbank assets also make the banking system face potential risk,the complex debtor-creditor relationships become potential paths for financial contagion when defaults occur in the banking system,which may trigger the domino effect.When one bank in the banking system fails,it may not be able to meet the repayment requirements of its creditor banks,which might lead to defaults of the creditor banks and trigger a domino effect,endangering more banks in the banking system and generating contagion in the interbank market.In recent years,interbank lending business of Chinese commercial banks is under rapid development.On the one hand,interbank lending among commercial banks could optimize the allocation of financial resources,which promotes the differentiation and specialization operation of banks and improves operational efficiency of commercial banks.But on the other hand,interbank exposures may exacerbate the risk accumulation of the banking system,which increases the fragility of the banking system.Highly overlapping portfolio among banks may trigger local financial risks,which would eventually lead to the collapse of the entire financial system.In addition,a large number of foreign banks pour in China in the process of financial globalization,making Chinese commercial banks and foreign banks get more and more closer to each other.So the domestic commercial banks also face the shock generated from the failure of foreign banks,which is undoubtedly a new challenge to the regulators of Chinese commercial banks.Therefore,it is necessary to analyze the mechanism of contagion in interbank market and design the corresponding strategies to decrease the effect of contagion.For this reason,the features of the structure of interbank market network,the mechanism of interbank multi-channel contagion and corresponding strategies for contagion are investigated in this paper.Firstly,a dynamic network model for interbank market is introducted,which is based on the behaviors of the bank agents descirbed with Multi-Agent method.Then,the features of the structure of interbank market network and the impacts of the dynamics of interbank market and bank lending preference on the network structure are analyzed.Simulation results indicate that the constructed interbank market is a small-world network and the cumulative degree of the banks is subject to power-law distribution.Moreover,the topological characteristics of the interbank market network remain dynamically stable during the evolution of the network.Furthermore,with the increase of bank lending preference,the network clustering coefficient of interbank market increases gradually,and the average shortest path of network gradually becomes shorter,which improves the resilience of interbank market network.Secondly,the mechanism of multi-channel contagion in interbank market is analyzed,and the model of multi-channel contagion in interbank market network is presented.Simulation results demonstrate that the dynamics of the interbank market network could enhance the resilence of the interbank market network,which suggests that existing research may overestimate effect of contagion in the interbank market.Moreover,contagion through muti-channels is more threatening to the interbank market than through a single channel,and the destructive effect of different forms of contagion risk can be enhanced through multiple channels.The behaviors of bank agents have a great impact on the contagion in interbank market network.An increase of the capital ratio of banks could increase the stability of the network.The interbank assets,the liquid assets of banks and bank lending preference have complex effects on the stability of the interbank market network.With the increase of contagion effect of interbank market,the network clustering coefficient of interbank market increases and network efficiency decreases nonlinearly.Finally,several contagion control strategies based on the dynamic interbank market network model and the interbank market multi-channel contagion model are proposed,such as single objective immune,multi-objective combination immunization and interbank bailout and liquidity bailout,and comparisons are made between different strategies,The results show that several proposed strategies can reduce the interbank market risk contagion effect and increase the stability of the interbank market network.The multi-objective combinatorial immune strategy is superior to the single-objective immunization strategy in decreasing interbank contagion effect and the designed interbank bailout strategy is superior to other strategies.With the increase of the injection of liquidity,the contagion effect of the interbank market decreases gradually,and the resilience of the interbank market network is gradually strengthened.In short,multi-channel contagion and control strategies for interbank market are investigated from the perspective of the complex network and multi-agent integration,focusing on the dynamic characteristics of the interbank market and behaviors of the bank agents.The conclusions of the paper can provide guidances for financial market participants and supervisors.