Study On Relation Between Stock Price Volatility And Interbank Risk Contagion Based On Complex Network

The bank system plays an important role in the custody of and financing of funding in the economy.At the same time,it also plays the role of a monetary policy passer.The above-mentioned functions of the bank system need to use the correlation between individual banks within the bank system and the interaction between the bank system and other financial systems.Through the interbank market,banks have formed intricate and complex relationships between banks through interbank lending,payment liquidation,discounting,acceptance,and guarantees.This correlation has also become a possible channel for interbank risk contagion while ensuring the effective operation of the bank system.As another important component of the financial system,the stock market's performance not only affects the prices of other financial assets but also affects judgment towards the real economy.For listed banks,the operating status of their stock prices is reflected by the stock price of listed banks on the financial structure and operating performance of the banks,which in turn affects the operations in the interbank market.Therefore,the stock market has a significant risk spillover effect on the interbank market.Therefore,studying the relationship between interbank risk contagion and stock price volatility and interbank risk contagion plays an important role in ensuring the stability of the financial system and preventing the occurrence of financial risks.Based on this,this paper combines the fluctuation of listed banks' stock price with the business behavior of the interbank market,and studies the interbank risk contagion based on complex network theory.First,an exogenous dynamic bank network model is constructed and simulated.After abstraction and simplification of the actual situation,construction of a dynamic bank balance sheet,and further reference to the existing literature to determine the balance sheet of depositors deposits,owners of equity,interbank lending,liquidity assets,external dynamic exogenous innovation mechanism.Among them,the renewal of owners' equity is affected by the valuation of listed banks based on the stock price of listed banks,which will link the price fluctuations in the inter-bank market and the stock market in order to study the fluctuation of stock prices and the risk of inter-bank risk transmission.purpose.A simulation study was conducted on the basis of the above balance sheet and its update mechanism.The study finds that:(1)With the development of a simulation cycle,the number of failed banks continues to increase,but the out-degree and in-degree of the lending network between unbanked banks are always subject to dual power law distribution throughout the cycle;(2)Discovery In a simulation cycle,the network aggregation factor and the average shortest path of the interbank lending network remain stable;(3)At the same time,the aggregation coefficient increases monotonically with the increase of the lending preference of the bank,and the average shortest path decreases with the increase of lend preference.Secondly,based on the exogenous dynamic bank network model,the relationship between stock price fluctuation and inter-bank risk contagion is studied.On the basis of the above-mentioned bank balance sheet dynamic update and exogenous dynamic banking network,first analyze the inter-bank risk contagion mechanism caused by the impact.The relationship between the bank's main behavior and the inter-bank risk contagion was further studied.The study finds that:(1)The increase in the proportion of owners' equity will lead to a monotonous decline in the degree of inter-bank risk contagion;(2)The increase in the inter-bank debt ratio,the proportion of liquid assets,and the increase in interbank lending preference lead to an increase in the inter-bank risk contagion before it rises.(3)The increase in the share capital ratio and the volatility of bank stocks will aggravate the inter-bank risk contagion,which in turn will lead to a monotonous increase in the ratio of failed banks.Finally,an endogenous dynamic bank network model is constructed,and on this basis,the relationship between stock price fluctuation and inter-bank risk contagion is studied.Based on the relevant literature and the actual situation,the endogenous dynamic mechanism was further introduced into the model,including the endogenous behavior of bank entities and the endogenous dynamic mechanism of the interbank market,and the borrowing bank calculated the loan bank based on its stock price.The market value and the endogenously determined lending rate.Based on the above-mentioned endogenous dynamic mechanism,an internal dynamic bank network model was constructed,and simulation studies of internal dynamic interbank networks and inter-bank risk transmission studies were conducted.The study found that:(1)Under the endogenous dynamic mechanism,the distribution of outbound and in-degree of the bank's network still has the dual power-law characteristics;(2)The network efficiency of the endogenous dynamic banking network increases with the choice of borrowing objects and Increased volatility of depositors' deposits increases;(3)The network efficiency of endogenous dynamic banking networks increases first and then decreases as the stock price of banks increases the weight of the lending rate;(4)Interbank risk contagion increases with bank stock prices.The impact on the interest rate on the lending rate,the premium demand on the risk of the lending bank,the volatility of depositors' deposits,and the increase in the proportion of the initial liquid assets in the total assets;(5)The degree of risk contagion among banks and the range of borrowing targets,borrowing banks There is a complex and non-monotonic relationship between the level of risk preference,the stability of depositors' deposits,and the proportion of the total owner's equity in the total assets.Above studies provide a more comprehensive perspective for understanding the formation of bank network characteristics and the dynamic evolution mechanism,which helps to understand the relationship between bank network structure and interbank risk contagion.They also provide strong theoretical support to supervise and control interbank risk contagion,risk spillover among different financial markets and related policymaking.