Measure the Evolution of Interbank Network Structure: Panel Data Analysis to Shibor Network

Abstract

This paper constructs networks from Shibor data to explore the feature of interbank network. Direct friction is defined to describe exchange difficulty which nodes faced and indirect friction to competition effect of them. Along with other network structure measurements, panel regression analysis shows that four network measurements of centrality of in degree, centrality of 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 different samples. The results indicate that network structure determined by price spread influences the relationship between banks and frictions.