An endogenous network model of banking systems

In this article, we propose an endogenous network model for banking systems. Starting from the balance sheets of a banking system and its update algorithms, the interbank credit lending was established based on the partner selection mechanism. Through simulation analysis, we find that the endogenous network model displays a structure with multiple liquidity centers, that the in‐degree distribution exhibits a Pareto tail, and that the bank asset distribution is a lognormal distribution with a Pareto tail. © 2016 Wiley Periodicals, Inc. Complexity 21: 512–520, 2016     

Filtering for risk assessment of interbank network

Our paper contributes to the recent macroprudential policy addressing the resilience of financial systems in terms of their interconnectedness. We argue that beneath an interbank market, there is a fundamental latent network that affects the liquidity distributions among banks. To investigate the interbank market, we propose a framework that identifies such latent network using a statistical learning procedure. The framework reverse engineers overnight signals observed as banks conduct their reserve management on a daily basis. Our simulation-based results show that possible disruptions in funds supply are highly affected by the interconnectedness of the latent network. Hence, the proposed framework serves as an early warning system for regulators to monitor the overnight market and to detect ex-ante possible disruptions based on the inherent network characteristics.     

Unveiling endogeneity between competition and efficiency in Chinese banks: a two-stage network DEA and regression analysis

Although there is a growing number of research articles investigating the performance in the banking industry, research on Chinese banking efficiency is rather focused on discussing rankings to the detriment of unveiling its productive structure in light of banking competition. This issue is of utmost importance considering the relevant transformations in the Chinese economy over the last decades. This is a development of a two-stage network production process (production and intermediation approaches in banking, respectively) to evaluate the efficiency level of Chinese commercial banks. In the second stage regression analysis, an integrated Multi-Layer Perceptron/Hidden Markov model is used for the first time to unveil endogeneity among banking competition, contextual variables, and efficiency levels of the production and intermediation approaches in banking. The competitive condition in the Chinese banking industry is measured by Panar–Rosse H-statistic and Lerner index under the Ordinary Least Square regression. Findings reveal that productive efficiency appears to be positively impacted by competition and market power. Second, credit risk analysis in older local banks, which focus the province level, would possibly be the fact that jeopardizes the productive efficiency levels of the entire banking industry in China. Thirdly, it is found that a perfect banking competition structure at the province level and a reduced market power of local banks are drivers of a sound banking system. Finally, our findings suggest that concentration of credit in a few banks leads to an increase in bank productivity.

     

中国银行系统的宏观审慎监管研究

全球金融危机爆发后,对银行系统实行审慎监管已成为国内外学者及相关监管机构的共识。但目前银行系统的监管研究多为微观审慎监管,宏观审慎监管研究缺乏,尤其是对中国银行网络系统进行动态建模并进行宏观审慎监管的定量研究未见。本文首先利用中国2008至2015年16家上市银行的实际数据构建动态的中国银行网络系统模型,然后使用Component VaR、Incremental VaR、Shapley value EL以及ΔCoVaR四种风险分配机制研究中国银行网络系统的宏观审慎监管方法。研究表明:对中国银行网络系统进行宏观审慎监管能够有效提升其稳定性,并且四种机制相比之下,ΔCoVaR的监管效果最为显著,而Incremental VaR则相对较差。此外,通过宏观审慎资本与银行指标之间的相关性分析,发现Incremental VaR、Shapley value EL以及Component VaR机制下的宏观审慎资本与银行的总资产具有一定的相关性,此时宏观审慎资本可以根据银行的总资产来设置;而ΔCoVaR机制下则不相关,因此宏观审慎资本可以依据各银行的系统性风险贡献大小来设置。     

中国银行业市场竞争结构测度:基于Bresnahan范式研究

自从金融体系改革在中国开展以来,我国银行业的市场结构和竞争程度发生了巨大的变化。本文基于一般市场均衡理论框架对Bresnahan范式进行修正,采用1995-2004年间14家商业银行的数据建立panel data模型,对我国银行业的竞争结构进行测度。结果表明:1995-2004年期间,我国银行业处于较为明显的垄断竞争市场结构,比较1995-1998年和1999-2004年分析结果可以看出,我国银行业的竞争趋势渐强;4家国有商业银行之间具备高竞争程度的垄断竞争市场结构特征,10家股份制商业银行之间的竞争程度明显低于国有商业银行之间的竞争程度。     

Assessing interbank contagion using simulated networks

This paper presents a new approach to randomly generate interbank networks while overcoming shortcomings in the availability of bank-by-bank bilateral exposures. Our model can be used to simulate and assess interbank contagion effects on banking sector soundness and resilience. We find a strongly non-linear pattern across the distribution of simulated networks, whereby only for a small percentage of networks the impact of interbank contagion will substantially reducoe average solvency of the system. In the vast majority of the simulated networks the system-wide contagion effects are largely negligible. The approach furthermore enables to form a view about the most systemic banks in the system in terms of the banks whose failure would have the most detrimental contagion effects on the system as a whole. Finally, as the simulation of the network structures is computationally very costly, we also propose a simplified measure—a so-called Systemic Probability Index—that also captures the likelihood of contagion from the failure of a given bank to honour its interbank payment obligations but at the same time is less costly to compute. We find that the SPI is broadly consistent with the results from the simulated network structures.     

银行间债券市场的外部效率:基于商业银行的视角

以参与我国银行间债券市场的商业银行为研究对象,运用面板数据模型检验银行间债券市场的外部效率对于商业银行经营绩效的影响.实证结果表明:我国银行间债券市场的发展对于商业银行的盈利能力和流动性管理水平均有较强的外部正效率,而对于商业银行传统盈利模式和风险管理则具有负面影响.建议商业银行应利用银行间债券市场的外部正效率提高其资产负债管理水平,通过提升自身经营管理水平来降低银行间债券市场外部负效率对自身的影响;此外监管当局还应该降低小型金融机构进入银行间债券市场的门槛,以发挥该市场外部正效率对化解区域金融风险的作用.     

Rollover risk and endogenous network dynamics

Using a dynamic network formation model, solved numerically, we study banks’ rollover decisions. We find that when the existence of linkages between market participants generates an informational externality, the newly formed network is conditioned by past architectures. Moreover, this inertia is strongly dependent on macroeconomic conditions, such as investors’ risk appetite. Simulations show that for intermediate values of the risk appetite’s parameter the financial network exhibits tipping points, i.e., the inability to maintain a threshold number of linkages may push the market into a gridlock. In this context, we study also how policy instruments, such as taxes and subsidies, affects debt rollover. Since a reduction in the policy level plays the same role as an improvement in economic fundamentals, the creation of interbank connections can be stimulated by it. Thus, in order to restart lending after a major stress situation in the interbank market a considerable reduction in the policy level is required, advising a counter-cyclical policy similar to the ones recently proposed with respect to capital requirements.     

网络结构、资本缓冲与银行系统性风险传染效应——来自2007~2017年中国14个上市商业银行数据

银行体系稳健运行对国民经济健康发展具有重要意义。选取2007~2017年中国14个上市商业银行数据,利用债务矩阵构建银行网络,运用无残差完全分解模型将其分解为网络结构和资本缓冲两个因素,对我国银行系统性风险传染效应研究。结果表明:网络结构与银行系统性风险存在复杂的关联性,而资本缓冲与银行系统性风险有显著负相关关系;在金融危机期间,网络结构是诱导银行系统性风险波动的决定性因素,资本缓冲对降低银行系统性风险有重要作用。此外国有商业银行与其他银行债务关系更为紧密,对系统性金融风险贡献较大,中国银行处于网络结构中重要位置,中国工商银行和中国建设银行处于次重要位置。该结果为资本监管政策和宏观审慎政策有效实施提供了理论依据。     

基于Hull-White模型的债券市场利率期限结构研究

现代利率研究中有许多理论和模型对利率期限结构问题进行探索，但是在中国还没有一种公认的理论或方法能够完全解决中国债券市场利率期限结构问题。本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究，应用三叉树模拟技术构建Hull-White模型，并对当前中国债券市场上几种常用利率进行比较分析。研究发现银行间质押式回购收益率具有较好的动态运动性质，比样本国债和政策性银行金融债更适宜作为短期金融产品定价的基础。     

Synchronization for fractional‐order multi‐linked complex network with two kinds of topological structure via periodically intermittent control

This paper concentrates on the global synchronization of the fractional‐order multi‐linked complex network (FMCN) via periodically intermittent control. It should be stressed that periodically intermittent control is employed to the FMCN for the first time. Moreover, the network is defined on digraphs with different weights, and two situations on topological structure of the network are discussed, including each digraph being strongly connected, and the biggest one being strongly connected. Based on Lyapunov method and graph theory, some synchronization criteria are obtained under two situations. And, the obtained synchronization criteria have a close relationship with the order of fractional‐order derivative, coupling strength, control gain, control rate, and control period. Besides, for practicability, theoretical results are applied to studying the synchronization of fractional‐order multi‐linked chaotic systems, and some sufficient conditions are provided. For a special case, fractional‐order multi‐linked Lorenz chaotic systems, numerical simulations are given to indicate the feasibility of theoretical results and the effectiveness of control strategy.     

Bank-level estimates of market power

The aim of this study is to provide an empirical methodology for the estimation of market power of individual banks. The new method employs the well-known model of Panzar and Rosse (1987) and proposes its estimation using the local regression technique. Local regression yields coefficient estimates equal to the number of observations and, thus, market power is estimated for each bank at each point in time. In addition, a number of restrictive assumptions regarding the properties of the production function of banks are relaxed. A panel of banks from transition countries that has been recently employed by Delis (2010) to obtain market power estimates using the Panzar and Rosse model at the country level is used for comparative purposes. We find that country averages of the bank-level results exhibit a very close relationship with standard, industry-level Panzar-Rosse estimates. However, the empirical results suggest that many banks in countries with fairly competitive banking systems deviate significantly from the country averages and that market power varies substantially across banks in each country.     

Modelling and analysis of the nonlinear string-mass structure of the vibration absorber

ABSTRACT

In this paper a nonlinear string-mass structure of the vibration absorber is analyzed. This structure is convenient to be installed in vibration damping systems of high buildings for their protection in the case of earthquake. The considered string-mass structure contains a translator movable mass connected with two strings. Due to nonlinear geometric properties of the system the motion of the mass is described with a strong nonlinear second order differential equation. In the paper the approximate procedure for solving of the nonlinear equation of motion is developed. Based on the solution the influence of the string preloading force, slider mass and friction force on the vibration property of the string-mass system is investigated. It is concluded that variation of the preloading string force may be applied as a control parameter for vibration absorption and as the regulator of vibration decay time.     

资本约束对商业银行风险偏好的影响—来自中部某省份若干家商业银行的实证检验

本文以滞后一期的自回归模型为基础,综合运用统计描连、单位根检验、协整检验等技术,针对2002年至2006年中部某省份若干家商业银行的数据,实证检验了资本约束政策的实施对商业银行风险偏好的影响。结论显示:资本约束对商业银行的风险行为选择的影响巨大,但是资本软约束会强烈抵消资本约束带来的正效应;中小型银行比大型银行更具有政策的敏感度,中国的商业银行体系应当进一步进行深入的市场经济改革。本文的创新在于:建立了一个信贷行为偏好指数来刻画商业银行的风险偏好,并把资本约束的实施与资本约束的软化引入计量模型,分别进行了总量检验与分类检验,从而得到了有中国特色的分析结论与政策建议。     

Foreign versus domestic banks’ performance in the UK: a multicriteria approach

Although the banking sector in the UK is one of the most open and it is characterized by an increasing foreign bank presence, it remains relatively under-researched compared to studies for other countries. The objective of this paper is to investigate the performance of the UK banking sector focusing on the performance of the domestic banks as opposed to the performance of the foreign banks in order to test the hypothesis of higher performance of the domestic banks in a developed market. For this purpose, the UTADIS multicriteria methodology is employed to compare domestic and foreign banks performance over multiple criteria, such as profitability, liquidity, risk and efficiency, using a data sample covering 26 domestic and 32 foreign banks operating in the UK over the period 1998 to 2001. The results of the study, support the home advantage hypothesis, suggesting that the higher performance of domestic banks compared to foreign banks is also the case in the UK. The most important distinguishing performance factors between the two groups of banks are interest revenue to total earning assets, and profit before taxes to loans plus securities, which are higher for the domestic banks.AMS classification: 91B28     

Asymptotic‐preserving Godunov‐type numerical schemes for hyperbolic systems with stiff and nonstiff relaxation terms

We devise a new class of asymptotic‐preserving Godunov‐type numerical schemes for hyperbolic systems with stiff and nonstiff relaxation source terms governed by a relaxation time ε. As an alternative to classical operator‐splitting techniques, the objectives of these schemes are twofold: first, to give accurate numerical solutions for large, small, and in‐between values of ε and second, to make optional the choice of the numerical scheme in the asymptotic regime ε tends to zero. The latter property may be of particular interest to make easier and more efficient the coupling at a fixed spatial interface of two models involving very different values of ε. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2013     

Vertex Cuts

Given a connected graph, in many cases it is possible to construct a structure tree that provides information about the ends of the graph or its connectivity. For example Stallings' theorem on the structure of groups with more than one end can be proved by analyzing the action of the group on a structure tree and Tutte used a structure tree to investigate finite 2‐connected graphs, that are not 3‐connected. Most of these structure tree theories have been based on edge cuts, which are components of the graph obtained by removing finitely many edges. A new axiomatic theory is described here using vertex cuts, components of the graph obtained by removing finitely many vertices. This generalizes Tutte's decomposition of 2‐connected graphs to k‐connected graphs for any k, in finite and infinite graphs. The theory can be applied to nonlocally finite graphs with more than one vertex end, i.e. ends that can be separated by removing a finite number of vertices. This gives a decomposition for a group acting on such a graph, generalizing Stallings' theorem. Further applications include the classification of distance transitive graphs and k‐CS‐transitive graphs.     

Switching adaptive controllers to control fractional‐order complex systems with unknown structure and input nonlinearities

This article investigates the chaos control problem for the fractional‐order chaotic systems containing unknown structure and input nonlinearities. Two types of nonlinearity in the control input are considered. In the first case, a general continuous nonlinearity input is supposed in the controller, and in the second case, the unknown dead‐zone input is included. In each case, a proper switching adaptive controller is introduced to stabilize the fractional‐order chaotic system in the presence of unknown parameters and uncertainties. The control methods are designed based on the boundedness property of the chaotic system's states, where, in the proposed methods the nonlinear/linear dynamic terms of the fractional‐order chaotic systems are assumed to be fully unknown. The analytical results of the mentioned techniques are proved by the stability analysis theorem of fractional‐order systems and the adaptive control method. In addition, as an application of the proposed methods, single input adaptive controllers are adopted for control of a class of three‐dimensional nonlinear fractional‐order chaotic systems. And finally, some numerical examples illustrate the correctness of the analytical results. © 2014 Wiley Periodicals, Inc. Complexity 21: 211–223, 2015     

0–1 laws for maps

A class of finite structures has a 0–1 law with respect to a logic if every property expressible in the logic has a probability approaching a limit of 0 or 1 as the structure size grows. To formulate 0–1 laws for maps (i.e., embeddings of graphs in a surface), it is necessary to represent maps as logical structures. Three such representations are given, the most general being the full cross representation based on Tutte's theory of combinatorial maps. The main result says that if a class of maps has two properties, richness and large representativity, then the corresponding class of full cross representations has a 0–1 law with respect to first‐order logic. As a corollary the following classes of maps on a surface of fixed type have a first‐order 0–1 law: all maps, smooth maps, 2‐connected maps, 3‐connected maps, triangular maps, 2‐connected triangular maps, and 3‐connected triangular maps. ©1999 John Wiley & Sons, Inc. Random Struct. Alg., 14, 215–237, 1999     

Measuring bank contagion in Europe using binary spatial regression models

The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank has assumed the supervision of the largest banks in each of the member states. We propose a measure of contagion risk based on the spatial autocorrelation parameter of a binary spatial autoregressive model. Using different specifications of the interbank connectivity matrix, we estimate the contagion parameter for banks within the Eurozone, between 1996 and 2012. We provide evidence of high levels of systemic risk due to contagion during the European sovereign debt crisis.