Analysis of Economic Crisis Based on Double-layer Network of International Investment and Trade
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- 英文论文题名：Analysis of Economic Crisis Based on Double-layer Network of International Investment and Trade
- 论文作者：Mingying Wei ; Shuhong Zhang ; Lin Wang
- 英文论文作者：Mingying Wei ; Shuhong Zhang ; Lin Wang ; Department of Automation ; Shanghai Jiao Tong University ; and Key Laboratory of System Control and Information Processing ; Ministry of Education ; Interactive Entertainment Group
- 年：2017
- 作者机构：Department of Automation,Shanghai Jiao Tong University,and Key Laboratory of System Control and Information Processing,Ministry of Education;Interactive Entertainment Group;
- 英文论文关键词：International Investment ; International Trade ; Double-layer Networks ; Propagation ; DebtRank
- 会议召开时间：2017-07-26
- 会议录名称：第36届中国控制会议论文集（A）
- 英文会议录名称：Proceedings of the 36th Chinese Control Conference（A）
- 语种：英文
- 分类号：F746
- 学会代码：KZLL
- 会议名称：第36届中国控制会议
- 会议地点：中国辽宁大连
- 主办单位：中国自动化学会控制理论专业委员会
- 学会名称：中国自动化学会控制理论专业委员会
- 页数：6
- 文件大小：446k
- 原文格式：D
- 会议级别：全国
摘要
Countries in the world have formed a huge network by international investment and trade, where economic turmoil in some areas may lead to a worldwide financial crisis. In this paper, based on the international investment and trade data of155 countries from 2007 to 2010, a double-layer network is constructed to analyze the economic crisis' s influence that how countries' economic situation evolves over time and affects each other. First, an improved epidemic model is developed on the double-layer network, where each country possesses three candidate states including susceptible, contagious and influenced.Second, Debt Rank of each layer is calculated to quantify the propagation of financial distress and crisis, which shows that Debt Rank is basically consistent with the GDP of countries, and countries with small Debt Rank are more vulnerable in trade network, while countries with big Debt Rank are more vulnerable in investment network.
Countries in the world have formed a huge network by international investment and trade, where economic turmoil in some areas may lead to a worldwide financial crisis. In this paper, based on the international investment and trade data of155 countries from 2007 to 2010, a double-layer network is constructed to analyze the economic crisis' s influence that how countries' economic situation evolves over time and affects each other. First, an improved epidemic model is developed on the double-layer network, where each country possesses three candidate states including susceptible, contagious and influenced.Second, Debt Rank of each layer is calculated to quantify the propagation of financial distress and crisis, which shows that Debt Rank is basically consistent with the GDP of countries, and countries with small Debt Rank are more vulnerable in trade network, while countries with big Debt Rank are more vulnerable in investment network.
Countries in the world have formed a huge network by international investment and trade, where economic turmoil in some areas may lead to a worldwide financial crisis. In this paper, based on the international investment and trade data of155 countries from 2007 to 2010, a double-layer network is constructed to analyze the economic crisis' s influence that how countries' economic situation evolves over time and affects each other. First, an improved epidemic model is developed on the double-layer network, where each country possesses three candidate states including susceptible, contagious and influenced.Second, Debt Rank of each layer is calculated to quantify the propagation of financial distress and crisis, which shows that Debt Rank is basically consistent with the GDP of countries, and countries with small Debt Rank are more vulnerable in trade network, while countries with big Debt Rank are more vulnerable in investment network.
引文
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[12]Joseph A C,Joseph S E,Chen G.Cross-border Portfolio Investment Networks and Indicators for Financial Crises[J].Scientific Reports,2014,4(2):3991.
[13]Doong S.Doong S.Causal Relationship Between ICT Development and Portfolio Investment Network:Social Selection or Social Influence?[J].Management,2010,18:59-81.
[14]Song D M,Jiang Z Q,Zhou W X.Statistical Properties of World Investment Networks[J].Physica A Statistical Mechanics&Its Applications,2009,388(12):2450-2460.
[15]Battiston S,Puliga M,Kaushik R,et al.Debt Rank:Too Central to Fail?Financial Networks,the FED and Systemic Risk[J].Scientific Reports,2012,2(8):541.
[16]Marco Bardoscia,Fabio Caccioli et al.Distress Propagation in Complex Networks:the Case of Non-linear Debt Rank[J].Plos One,2015,11(10):e0163825.
[17]Poledna S,Thurner S.Elimination of Systemic Risk in Financial Networks by means of a Systemic Risk Transaction Tax[J].Quantitative Finance,2016,16(10):1599-1613.
[18]Mistrulli P E.Assessing Financial Contagion in the Interbank Market:Maximum Entropy versus Observed Interbank Lending Patterns[J].Temi Di Discussione,2007,35(5):1114-1127.
[19]Zhang S,Wang L,Liu Z,et al.Evolution of International Trade and Investment Networks[J].Physica A Statistical Mechanics&Its Applications,2016,462:752-763.
[20]Shuhong Z,Lin W.Evolution of International Trade and Investment from a Complex Network Perspective[C].Control Conference IEEE,2015:8600-8605.
[21]Avrachenkov K,Litvak N,Nemirovsky D,et al.Monte Carlo Methods in Page Rank Computation:When One Iteration is Sufficient[J].Siam Journal on Numerical Analysis,2005,45(2):890-904.
The data is available at the website of IMF,http://data.imf.org/
[2]Jin X,Wu Y,Jin C.Research on Stock Network Modeling and Risk Propagation Based on Complex Network Analysis[C].Hawaii International Conference on System Sciences IEEE,2016:1188-1194.
[3]Lu X,Zhou W,Zhao Y,et al.Inter-Firm Innovation Networks:The Impact of Scale-Free Property on Firm Innovation[M].Emerging Technologies for Information Systems,Computing,and Management,Springer New York,2013:1033-1040.
[4]Moessner R,Allen W A.Banking Crises and the International Monetary System in the Great Depression and Now[J].Financial History Review,2010,18(1):1-20.
[5]Kim L,Abramson M,Drakopoulos K,et al.Estimating Social Network Structure and Propagation Dynamics for an Infectious Disease[C].International Conference of Social Computing,Behavioral-Cultural Modeling and Prediction,2014:85-93.
[6]Gan C,Yang X,Liu W,et al.Propagation of Computer Virus both across the Internet and External Computers:A Complexnetwork Approach[J].Communications in Nonlinear Science&Numerical Simulation,2014,19(8):2785-2792.
[7]Ko Y,Warnier M,Mieghem P V,et al.The Impact of the Topology on Cascading Failures in a Power Grid Model[J].Physica A Statistical Mechanics&Its Applications,2014,402:169-179.
[8]Del V M,Bessi A,Zollo F,et al.The Spreading of Misinformation Online[J].Proceedings of the National Academy of Sciences of the United States of America,2016,113(3):554-559.
[9]Thomas Chaney.The Network Structure of International Trade[J].American Economic Review,2014,104(11):3600-3634.
[10]Zhu Z,Cerina F,Chessa A,et al.The Rise of China in the International Trade Network:A Community Core Detection Approach[J].Plos One,2014,9(8):e105496.
[11]Lee K M,Goh K I.Strength of Weak Layers in Cascading Failures on Multiplex Networks:Case of the International Trade Network[J].Scientific Reports,2016,6:26346.
[12]Joseph A C,Joseph S E,Chen G.Cross-border Portfolio Investment Networks and Indicators for Financial Crises[J].Scientific Reports,2014,4(2):3991.
[13]Doong S.Doong S.Causal Relationship Between ICT Development and Portfolio Investment Network:Social Selection or Social Influence?[J].Management,2010,18:59-81.
[14]Song D M,Jiang Z Q,Zhou W X.Statistical Properties of World Investment Networks[J].Physica A Statistical Mechanics&Its Applications,2009,388(12):2450-2460.
[15]Battiston S,Puliga M,Kaushik R,et al.Debt Rank:Too Central to Fail?Financial Networks,the FED and Systemic Risk[J].Scientific Reports,2012,2(8):541.
[16]Marco Bardoscia,Fabio Caccioli et al.Distress Propagation in Complex Networks:the Case of Non-linear Debt Rank[J].Plos One,2015,11(10):e0163825.
[17]Poledna S,Thurner S.Elimination of Systemic Risk in Financial Networks by means of a Systemic Risk Transaction Tax[J].Quantitative Finance,2016,16(10):1599-1613.
[18]Mistrulli P E.Assessing Financial Contagion in the Interbank Market:Maximum Entropy versus Observed Interbank Lending Patterns[J].Temi Di Discussione,2007,35(5):1114-1127.
[19]Zhang S,Wang L,Liu Z,et al.Evolution of International Trade and Investment Networks[J].Physica A Statistical Mechanics&Its Applications,2016,462:752-763.
[20]Shuhong Z,Lin W.Evolution of International Trade and Investment from a Complex Network Perspective[C].Control Conference IEEE,2015:8600-8605.
[21]Avrachenkov K,Litvak N,Nemirovsky D,et al.Monte Carlo Methods in Page Rank Computation:When One Iteration is Sufficient[J].Siam Journal on Numerical Analysis,2005,45(2):890-904.
The data is available at the website of IMF,http://data.imf.org/