论文标题
使用山脊熵最大化模型重建银行间网络
Reconstruction of Interbank Network using Ridge Entropy Maximization Model
论文作者
论文摘要
考虑到网络的稀疏性，我们基于熵最大化开发网络重建模型。我们使用2000年至2016年开发的重建模型从单个银行资产负债表中的财务数据中重建了日本的银行间网络。在2000年至2016年间，已观察到的银行间网络的稀疏性成功地复制了。我们通过计算重要的网络属性来检查重建的银行间网络的特征。我们获得以下特征，这些特征与先前已知的风格化事实一致。尽管我们不引入生成核心和外围结构的机制，但我们强加了限制因素以考虑在同一银行类别中没有交易的稀疏性，除了主要的商业银行，核心和外围结构自发地出现了。我们使用Pagerank和学位的价值来确定每个社区中的主要节点，以检查每个银行类别的作用变化。日本银行于2013年4月启动的定量和定性货币放松政策的结果被认为是银行的变化作用。
We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed reconstruction model from 2000 to 2016. The observed sparsity of the interbank network is successfully reproduced. We examine the characteristics of the reconstructed interbank network by calculating important network attributes. We obtain the following characteristics, which are consistent with the previously known stylized facts. Although we do not introduce the mechanism to generate the core and peripheral structure, we impose the constraints to consider the sparsity that is no transactions within the same bank category except for major commercial banks, the core and peripheral structure has spontaneously emerged. We identify major nodes in each community using the value of PageRank and degree to examine the changing role of each bank category. The observed changing role of banks is considered a result of the quantitative and qualitative monetary easing policy started by the Bank of Japan in April 2013.
