The rescue strategy of interbank liquidity risk contagion: The cross perspective of multilayer network and media sentiment

The cross perspective of multilayer network and media sentiment, this paper constructs endogenous multilayer inter-bank liquidity network, and then constructs rescue strategy model of inter-bank liquidity risk contagion, and simulates and analyzes the evolution characteristics of inter-bank liquidity risk contagion under the interaction of media sentiment and rescue strategy. The main conclusions are as follows: In the multilayer inter-bank liquidity network considering media sentiment, preferential correlation is more conducive to the occurrence of inter-bank liquidity risk contagion, while stochastic correlation is helpful to inhibit the large-scale inter-bank liquidity risk contagion. However, in the single-layer inter-bank liquidity network, the opposite is true. Compared with multilayer inter-bank liquidity network, single-layer interbank liquidity network may overestimate the actual level of liquidity risk rather than underestimate it. In the multilayer inter-bank liquidity network, not only can we achieve the purpose of reducing the contagion of inter-bank liquidity risk by comprehensively adjusting the media sentiment factors, but also can quickly restrain the large-scale contagion of inter-bank liquidity risk by comprehensively adjusting the factors of media sentiment and rescue strategy, and at the same time, through the comprehensive adjustment of the factors of rescue strategy, we can be more effectively realized the purpose of the rapid extinction of inter-bank liquidity risk.