Match!

Contagion in Chinese Banking System: A Comparison of Maximum Entropy Method and Transfer Entropy Method

Published on Jul 1, 2014 in CSO (Computational Sciences and Optimization)
· DOI :10.1109/CSO.2014.136
Changzhi Liang5
Estimated H-index: 5
(CAS: Chinese Academy of Sciences),
Xiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsJianping LiXiaolei20
Estimated H-index: 20
Abstract
Maximum entropy method (MEM) is the traditional approach to estimate interbank exposure matrix, which is the key to assess contagion effect in banking system. Recently, a new transfer entropy method (TEM) is proposed to estimate interbank exposure matrix. This paper employs the two approaches to estimate interbank exposure matrix of Chinese banking system, and then simulate the contagion process given the initial failure of a bank in the system. The comparison of the results indicate that MEM is consistent with TEM when it comes to general and qualitative features of Chinese banking system; while the differences begin to emerge when it comes to the exact and quantitative features of Chinese banking system.
  • References (15)
  • Citations (2)
References15
Newest
#1Angelika Sachs (LMU: Ludwig Maximilian University of Munich)H-Index: 4
69 CitationsSource
#1Chunping Liu (NTU: Nottingham Trent University)H-Index: 2
#2Patrick Minford (Cardiff University)H-Index: 20
9 CitationsSource
#1Jianping LiXiaoleiH-Index: 20
#2Changzhi Liang (USTC: University of Science and Technology of China)H-Index: 5
Last.Dengsheng Wu (CAS: Chinese Academy of Sciences)H-Index: 12
view all 5 authors...
21 CitationsSource
#1Christoph Memmel (BBk: Deutsche Bundesbank)H-Index: 14
#2Angelika SachsH-Index: 4
40 CitationsSource
#1Kartik Anand (Technical University of Berlin)H-Index: 10
#2Prasanna Gai (University of Auckland)H-Index: 13
Last.Matthew Willison (Bank of England)H-Index: 5
view all 5 authors...
77 CitationsSource
#1Andreas Krause (University of Bath)H-Index: 8
#2Simone Giansante (University of Bath)H-Index: 8
89 CitationsSource
#1Prasanna Gai (University of Auckland)H-Index: 13
#2Andrew G. Haldane (Bank of England)H-Index: 23
Last.Sujit Kapadia (Bank of England)H-Index: 13
view all 3 authors...
392 CitationsSource
338 CitationsSource
#1Christian Upper (BBk: Deutsche Bundesbank)H-Index: 9
#2Andreas Worms (BBk: Deutsche Bundesbank)H-Index: 16
480 CitationsSource
#1Iman van Lelyveld (De Nederlandsche Bank)H-Index: 18
#2Franka R. Liedorp (De Nederlandsche Bank)H-Index: 5
89 CitationsSource
Cited By2
Newest
#1Xiurong Chen (University of Electronic Science and Technology of China)H-Index: 1
#2Yixiang Tian (University of Electronic Science and Technology of China)H-Index: 1
Last.Rubo Zhao (University of Electronic Science and Technology of China)H-Index: 1
view all 3 authors...
4 CitationsSource
#1Teng Ma (University of Electronic Science and Technology of China)H-Index: 6
#2Hui Li (University of Electronic Science and Technology of China)H-Index: 55
Last.Peng Xu (University of Electronic Science and Technology of China)H-Index: 51
view all 8 authors...
17 CitationsSource
View next paperNetwork topology of the interbank market