An Equilibrium Model of Interbank Networks Based on Variational Inequalities | Zendy

Shouwei Li | Zendy; Jianmin He | Zendy

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An Equilibrium Model of Interbank Networks Based on Variational Inequalities

Author(s) -

Shouwei Li,

Jianmin He

Publication year - 2013

Publication title -

advances in mathematical physics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.283

H-Index - 23

eISSN - 1687-9139

pISSN - 1687-9120

DOI - 10.1155/2013/175232

Subject(s) - uniqueness , variational inequality , market liquidity , economic shortage , interbank lending market , economics , inequality , mathematical economics , econometrics , computer science , mathematics , monetary economics , mathematical analysis , government (linguistics) , linguistics , philosophy

We develop an equilibrium model of credit network and trust network in the interbank market. We consider two kinds of decision makers including banks with liquidity surplus and banks with liquidity shortage. We model the behavior of the decision makers, derive the equilibrium conditions, and establish the variational inequality formulation for interbank credit network and trust network. We then utilize the variational inequality formulation to obtain qualitative properties of the equilibrium pattern in terms of existence and uniqueness

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