원문정보
보안공학연구지원센터(IJUNESST)
International Journal of u- and e- Service, Science and Technology
Vol.8 No.8
2015.08
pp.31-40
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
This paper constructs interbank network based on the overnight interest rates of SHIBOR database. Direct friction and indirect friction of interbank network are defined and the influencing factors of friction are tested through panel data analysis. Results of panel regression show that four network centrality measurements of in degree, out degree, in degree and out degree all have significant effect on indirect friction, by contrast, only in degree and out degree have significant effect on direct friction. There are different effects under the condition of different samples. The results indicate that network structure determined by price spread influences the relationship between banks and frictions.
목차
Abstract
1. Introduction
2. Interbank Network Construction
2.1. Data Description
2.2. Interbank Network
3. Frictions of Interbank Network
3.1. Definitions to Interbank Network Frictions
3.2. Network Structure Affects Liquidity
3.3. Interbank Network Frictions along Time
4. Results of Panel Data Analysis
4.1. Variable and Period Selection
4.2. Unit Root Test
4.3. Cointegration Test
4.4. Model Selection and Regression Results
5. Conclusion
Acknowledgements
References
1. Introduction
2. Interbank Network Construction
2.1. Data Description
2.2. Interbank Network
3. Frictions of Interbank Network
3.1. Definitions to Interbank Network Frictions
3.2. Network Structure Affects Liquidity
3.3. Interbank Network Frictions along Time
4. Results of Panel Data Analysis
4.1. Variable and Period Selection
4.2. Unit Root Test
4.3. Cointegration Test
4.4. Model Selection and Regression Results
5. Conclusion
Acknowledgements
References
저자정보
참고문헌
자료제공 : 네이버학술정보