Abstract: The interbank lending network is an important contagion channel of bank failures. This paper indirectly inferred the interbank lending networks by applying the bank balance sheet data using both maximum entropy and minimum density methods. Besides, it analyzed the topological structure differences between the two kinds of interbank lending networks. Moreover, it demonstrated the contagion path and severity of bank stochastic failures in different networks. Furthermore, it analyzed the systemic importance and risk resistance ability of banks and their influencing factors by synthesizing the contagion results in different interbank lending networks. The empirical results show that the interbank lending network under the minimum density methods has the characteristics of lower density, disassortative connections and scale-free degree distribution, which are similar to those of real networks. Compared with the network under the maximum entropy methods, the conation scope is wider and contagion effects are more severe under the minimum density networks. On the one hand, the larger the size of the bank is, the higher the bad debit reserve ratio is, and the higher the interbank lending ratio is, the more severe the failure contagion effects will be. On the other hand, the larger the size of the bank is and the higher the bad debit reserve ratio is, the weaker risk resistance ability of the bank will be. The results of the study are conducive to the macro-prudential supervision of banks and the prevention or suppression of systemic risks.

Key words: interband lending network, maximum entropy method, minimum density method, risk contagion

摘要： 银行间借贷关联网络是银行经营困境或破产倒闭风险传染的重要渠道。基于我国银行间市场的总体借贷数据，首次综合运用最大熵法和最小密度法间接推断银行间借贷关联网络。对比分析两种网络的拓扑结构特征差异，以及两种网络下银行随机倒闭风险的网络间传染路径和程度。综合两种网络下的风险传染结果，分析银行的系统重要性和抗风险能力，并挖掘其影响因素。实证研究结果表明，最小密度法下的银行间借贷关联网络具有实际网络的连接稀疏性、异向连接匹配和无标度度分布等特征；与最大熵法所推断的网络相比，基于最小密度法网络的银行倒闭风险传染范围更广及传染强度更强；银行资产规模越大、坏账准备占不良贷款比例越高，风险传染效应和系统重要性越强、抗风险能力越弱；银行同业拆借率越高，风险传染效应和系统重要性也越强。研究结果有利于对银行实施宏观审慎监管，防范或抑制金融系统性风险。

关键词: 借贷关联网络, 最大熵法, 最小密度法, 风险传染