Systemic Risk And Systemically Importance Of Banks And Firms Based On Multilayer Network Theory

With the rapid development of the financial industry,banks and firms have formed complex financial networks through various forms of business associations such as loans and investments.The complex network relationship between banks and firms is conducive to the effective allocation of liquidity in the financial market.But at the same time,it also makes the risk of a single financial institution quickly contagious to other banks and firms which may evolve into systemic risks of the entire financial industry.Therefore,the research on the systemic risk and the systemically importance of banks and firms from the network perspective has attracted the attention of many scholars.In view of this,this article starts from the complexity and diversity of business connections between two types of economic entities,banks and firms,and combines the network theory with the multi-agent modeling to construct a multilayer network model which aims to study the systemic risk and the systemically importance of banks and firms.Firstly,the author proposes a method for building a bank-firm multilayer network model,in which the lending relationship with different loan terms and the common asset relationship with different investment cycles are considered simultaneously.The multilayer network evolution rules of bank-firm system are set in terms of the construction of balance sheets,the dynamic evolution of subject behaviors,the updating of liquid assets and the default settlement.After that,the network structure of bank-firm multilayer network and its network evolution characteristics are analyzed by leading a simulation process.The results show that the model constructed in this dissertation reproduces the characteristics existing in the evolution of the actual bank-firm network: the bank-firm multilayer network has a significant core-periphery structure;the bank-firm multilayer network has a smaller average path length;the correlations between different network layers of the bank-firm multilayer network are differentiated;the distribution of bank-firm assets has a power-law tail;the bank-firm multilayer network model shows good robustness to a certain extent.Secondly,based on the bank-firm multilayer network model,the author explores the respective impact of multilayer network structures and subject behaviors of banks and firms on the systemic risk.The results are as follows.Regarding the multilayer network structures,the systemic risk under the combined impact of the multilayer network is significantly greater than the combined effect of any two-layer network,and the heterogeneity of multilayer network nodes has the capability in resisting systemic risk.As for bank-firm subject behaviors,the longer loan term and the longer investment cycle increase the systemic risk to a certain extent,while the investment cycle is more sensitive.Decreasing the proportion of long-term investments and increasing the selection proportion of external assets both reduce the systemic risk as well,while the selection ratio of borrowing objects has little effect on the systemic risk relatively.In addition,the bank-firm systemic risk evolution shows a significant stability characteristic.Finally,based on the multilayer network model,the author uses multilayer DebtRank to identify the bank-firm systemically importance,analyze the internal characteristics of systemically important banks and firms,and test the robustness of the model.The results are as follows.Only very few banks and firms have shown systemically importance in the entire bank-firm system.Important banks and firms hold very high equities and incomes,while fragile banks and firms possess negative equities and serious losses.The bank-firm lending relationship plays a more effective role in identifying the systemically importance based on the multilayer DebtRank.The bank-firm multilayer DebtRank shows good robustness to a certain extent.Overall,this dissertation builds a multilayer network model of banks and firms to make an in-depth discussion on the systemic risk and the systemically importance.By analyzing the bank-firm multilayer network structure and its evolution characteristics,the micro foundation of the complex business relationships between banks and firms is revealed.Studying the systemic risk and the systemically importance based on the bank-firm multilayer network model is conducive to digging deep into the internal relationship among the multilayer network structure,the systemic risk and the systemically importance from a theoretical level.The above research results have certain theoretical reference value and practical guidance significance for the supervisory authorities to extract the internal characteristics of systemically importance banks and firms,prevent the systemic risk,and maintain the stability of the financial market.