Research on the mechanism and application of spatial credit risk contagion based on complex network model

Abstract

AbstractDue to information asymmetry, spatial distance will affect the associated credit cooperation relationship among enterprises. This paper employed the real‐world economic data to construct the entropy spatial interaction complex network model, which effectively depicts the associated credit risk among enterprises with the consideration of the influence of spatial distance and regional economic development level. Based on the calculation experiment and the Moran index, this paper reveals the spatial correlation of the credit risk contagion in each region and builds the theoretical model for spatial correlation of credit risk contagion. The research findings indicate the facts as follows. Firstly, enterprises in regions with close spatial proximity or higher level of economic development are more likely to attract enterprises from other regions for cooperation. For instance, due to the close distance between cities and more advanced economy, the eastern coastal region in China presents more intensive enterprise cooperation with other regions. Second, the analysis using the global Moran index reveals a significant spatial credit risk contagion pattern in credit defaults during 2020, attributed to the impact of the COVID‐19 pandemic. Third, the risk contagion effect of long‐distance associated credit is more complex. With the increase of the infection rate of long‐distance linked credit risk, the system will enter a chaotic state, hindering accurate long‐term prediction.