Next Article in Journal
Global Inequality in Energy Consumption from 1980 to 2010
Next Article in Special Issue
Information Theory Analysis of Cascading Process in a Synthetic Model of Fluid Turbulence
Previous Article in Journal
Atomic Structure Modeling of Multi-Principal-Element Alloys by the Principle of Maximum Entropy
Previous Article in Special Issue
Linearized Transfer Entropy for Continuous Second Order Systems
Article Menu

Export Article

Open AccessArticle
Entropy 2013, 15(12), 5549-5564; doi:10.3390/e15125549

Risk Contagion in Chinese Banking Industry: A Transfer Entropy-Based Analysis

1
Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100190, China
2
University of Chinese Academy of Sciences, Beijing 100190, China
*
Author to whom correspondence should be addressed.
Received: 7 September 2013 / Revised: 19 October 2013 / Accepted: 9 December 2013 / Published: 16 December 2013
(This article belongs to the Special Issue Transfer Entropy)
View Full-Text   |   Download PDF [391 KB, uploaded 24 February 2015]   |  

Abstract

What is the impact of a bank failure on the whole banking industry? To resolve this issue, the paper develops a transfer entropy-based method to determine the interbank exposure matrix between banks. This method constructs the interbank market structure by calculating the transfer entropy matrix using bank stock price sequences. This paper also evaluates the stability of Chinese banking system by simulating the risk contagion process. This paper contributes to the literature on interbank contagion mainly in two ways: it establishes a convincing connection between interbank market and transfer entropy, and exploits the market information (stock price) rather than presumptions to determine the interbank exposure matrix. Second, the empirical analysis provides an in depth understanding of the stability of the current Chinese banking system.
Keywords: interbank exposure matrix; risk contagion; transfer entropy interbank exposure matrix; risk contagion; transfer entropy
Figures

This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Li, J.; Liang, C.; Zhu, X.; Sun, X.; Wu, D. Risk Contagion in Chinese Banking Industry: A Transfer Entropy-Based Analysis. Entropy 2013, 15, 5549-5564.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top