An Empirical Examination of Transfer Risk in China’s Interbank Market Based on the Matrix Method
ZOU Wei1, LI Na2
1.Business School, Xiangtan University, Xiangtan 411105, China; 2.School of Economics and Business Administration, Beijing Normal University, Beijing 100875, China
Abstract：
Subprime crisis has caused regulators and academia’s general attention to the systemic risk of financial system., especially since the exist of the exposures in the interbank market, the risk may spread throughout the banking system and eventually lead to serious crisis. This paper, which is based on 2011 listed bank data, studies the interbank market transfer risk by using matrix method, then takes into account the increasing non-bank financial institutions’ trading proportion. So taking this kind of transaction data into the model to re-estimates, the results show that the probability of inter-bank market’ systemic risk is increasing, expressed as the increased number of risk contagion source banks and expanded risk infection scope.
ZOU Wei, LI Na.An Empirical Examination of Transfer Risk in China’s Interbank Market Based on the Matrix Method[J] Economic Survey, 2014,V31(5): 139-144
2014 
