A Study On The Interbank Dynamic Lending Model And Risk Contagion

In people's impression,financial institutions,especially banks,are usually "too big to fail",while the United States in 2007 occurred in the subprime crisis,the risk caused by the bankruptcy of Lehman continues to spread in the financial market,caused a number of banks have been closed down,causing the system of Bank of America financial risk the mechanism,and finally to the spread of infection,the global financial market turmoil.The scholars and regulators on bank systemic risk contagion concern,found that there are formed by mutual borrowing relationship lending network in the inter-bank market,the network bank mutual influence,from the external impact of systemic risk in the network formation is not broken spread.In addition,fluctuations in the liquidity of the bank caused by the economic cycle fluctuations is also one of the sources of risk of infection.China is the world's second largest economy,the growing scale of bank assets and liabilities,the inter-bank market more closely linked,the reform and innovation of finance deepening and the degree of market continues to improve,and the international financial markets is increasingly close,the possibility of our country commercial bank system risk or even bankruptcy of banks continuous improvement.Based on the above facts,it is significant to study the risk contagion in the inter-bank lending market caused by the internal economic cycle and external shocks,and to make the regulation and prevention measures.This paper mainly through the method to establish the dynamic model and simulation experiment,simulation of matrix interbank cash flow based on the source of the economic cycle,endogenous risk contagion is simulated,the dynamics of infectious process and results to study the interbank systemic risk,and to analyze the impact of liquidity and the central bank rescue recovery capability for risk transmission and network.This paper first analyzed the interbank system risk and the risk of infection,and the intervention strategies of the dynamic model set with the central bank's explanation,and define the concept of liquidity difficulties,for the next computer simulation is done to lay the theoretical foundation.Then,the effects of internal and external shocks on systemic risk contagion between banks were studied by computer simulation.And central bank intervention and assistance.At the end of this paper,we summarize the findings,put forward the deficiencies and the prospect of foreign research.In this paper,the following conclusions are drawn through the simulation experiment:First,the central bank's liquidity support plays an important role in inhibiting the endogenous risk of infection in the interbank lending network.The efficiency of the central bank to increase the number of liquidity supplement is decreasing.If the liquidity intervention range is too small,will increase the risk factors in the banking system accumulate,cannot give full play to the role of stabilizing the financial system;and when the liquidity intervention rate is too large,but there may be induced by commercial banks,such as moral hazard and adverse selection problems,prudence is not conducive to the operation of commercial banks.Therefore,the central bank to choose a suitable intervention strategy is to maintain the stability of the financial system,to promote the financial institutions to operate in a prudent premise and protection.Second,the central bank's liquidity relief has a significant impact on the improvement of the bank lending network recovery capability under exogenous shocks.The policy efficiency of the central bank to increase the size of the liquidity relief measures and the extension of the liquidity relief measures in different stages is different,showing a trend of first increase and then decrease.Therefore,the central bank should choose the appropriate size of the flow of relief and time period,if too little is not up to the rescue target,if too long,but also lead to inefficient use of funds.Therefore,the central bank to choose a suitable mobile rescue strategy is to deal with exogenous shocks,to restrain the risk of infection and improve the ability of interbank lending network recovery of the key elements.The research features of this paper are mainly expressed in three aspects.The first aspect is the research method,will establish the dynamic model and the computer simulation experiment,using the dynamic simulation method makes the bank lending network risk contagion research and the reality is more close.The second aspect is the impact of the source of diversity,that is,from the economic cycle of the impact of endogenous and exogenous shocks,from the perspective of interbank risk sources and infection were explained.The third aspect is the introduction of the central bank's liquidity intervention and rescue mechanism into the process of interbank risk contagion,increasing the participation of dynamic sectors and influencing factors,so that the model mechanism is more perfect.However,due to the complexity of the reality of the real situation and real data is not available,this.paper made some assumptions and simplifications in the model,in experiments using simulated data,although the research conclusion not in essence,but the risk of infectious status and the reality of lending between banks in the network may exist certain deviation.Test ideas and policy recommendations are yet to be practical and rich.