Interbank contagion risk in China under an ABM approach for network formation

Lin, Shiqiang; Zhang, Hairui

doi:10.1111/eufm.12360

Cited by 1 publication

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References 52 publications

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“…The application of network theory in finance, which Quesnay introduced in 1758, has gained widespread acceptance in academic circles and is frequently used to explain economic phenomena within the financial system (Allen & Babus, 2011;. For example, the origin of the crisis in the Chinese financial sector was found through the analysis of the interbank network (Lin & Zhang, 2022). The volatility network also reveals the most influential market among G20 stock markets by calculating network centrality (W. Zhang et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

Boonpong,

Pheunsane

2023

ABAC J

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This research aimed to investigate the structure of the national economic networks in Japan, Thailand, and Vietnam, at different stages of stock exchange development. Daily return data from the Refinitiv database were used, along with excess returns calculated by subtracting short-term government bond yields from index returns in each country. Key influencers and those heavily impacted by the economic system, were identified by applying Granger causality analysis and the HITS algorithm to nine industry indices. The results showed that the industrial sector (INDUS) significantly influenced other sectors in Japan and Thailand and that the economic sectors most affected by other industries varied by country. These findings have implications for policymakers seeking to manage and mitigate potential economic impacts from influential industrial sectors and identify the industry groups most susceptible to potential crises. This study contributes to the existing literature on the topic, enhancing understanding of economic networks, while further research is still needed in different countries and at various stages of economic development to fully comprehend the intricacies of economic networks.

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Section: Introductionmentioning

confidence: 99%