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The interbank market and systemic risk contagion have drawn great attention from academia. Based on complex network theory, previous research papers have focused on the network evolution and the contagion of risk in accordance with different topological structures of the interbank market. Random networks [2], small-world networks [3], and scale-free networks [4] have been acknowledged as successful networks to model the interbank market. Recent studies have also indicated that the interbank networks could be classified by three different structures: the community structure [5], the tiered structure [6], and the core-periphery structure [7]. However, the real interbank networks cannot be described simply by these structures. Studies have shown that the interbank network can be characterized by the degree distribution of the nodes. Some studies suggest that the degree distribution of the interbank network follows a power law distribution in many regions (see, e.g., Brazil [8], Japan [9], and Russia [10]), while some other papers show that the degree distribution of the interbank networks follows a two-power-law distribution [11, 12] in which there are potentially two pronounced power-law regions [13].
The research on risk contagion in the interbank market often relies on random networks and scale-free networks to simulate the interbank networks [19]. In addition, the methods of initial failures in the interbank network should be explicitly taken into account. Different methods have been proposed. Krause and Giansante [20] try to trigger a potential banking crisis by exogenously failing a bank with different bank sizes and under different power-law distributions of degrees, and then they investigate the spread of this failure through the banking system. Unlike prior studies focusing on the attacking methods to investigate the robustness of the interbank network, Georg [21] shows that banks become more vulnerable to endogenous fluctuations and occasional idiosyncratic insolvencies when a common shock strikes the entire banking system.
However, markets that enjoy free capital flows have a dark side as well. That is, when markets are closely linked, distress in one market can spread to other markets, amplifying the initial local shocks. This phenomenon is commonly called financial contagion. One well-known contagion mechanism is that when assets are traded among a common pool of either financially constrained or risk-averse investors, shocks to some assets will be transmitted to other assets through those common investors; see, e.g. Kyle and Xiong (2001), Gromb and Vayanos (2002), and Goldstein and Pauzner (2004). When this contagion effect is sufficiently large, such local shocks can cause entire markets to collapse, as we witnessed during the 2008 financial crisis. Longstaff (2010) and Gorton and Metrick (2012) provide empirical evidence for this fact. 59ce067264
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