Bank networks: contagion, systemic risk and prudential policy
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching alg...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
München
CESifo
2015
|
| Schriftenreihe: | CESifo working paper
5182 : Category 7, Monetary policy and international finance |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching algorithm. We compare three alternative matching algorithms: maximum entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment. |
| Beschreibung: | 1 Online-Ressource (50 S.) graph. Darst. |
| Format: | . - Acrobat Reader |
Internformat
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| 490 | 1 | |a CESifo working paper |v 5182 : Category 7, Monetary policy and international finance | |
| 520 | 1 | |a We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching algorithm. We compare three alternative matching algorithms: maximum entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment. | |
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| id | DE-604.BV042913044 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:12:41Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028340776 |
| oclc_num | 929248140 |
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| physical | 1 Online-Ressource (50 S.) graph. Darst. |
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| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | CESifo |
| record_format | marc |
| series | CESifo working paper |
| series2 | CESifo working paper |
| spelling | Aldasoro, Iñaki Verfasser aut Bank networks contagion, systemic risk and prudential policy Iñaki Aldasoro ; Domenico Delli Gatti ; Ester Faia München CESifo 2015 1 Online-Ressource (50 S.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier CESifo working paper 5182 : Category 7, Monetary policy and international finance We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching algorithm. We compare three alternative matching algorithms: maximum entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment. . - Acrobat Reader Delli Gatti, Domenico 1957- Verfasser (DE-588)121645711 aut Faia, Ester 1973- Verfasser (DE-588)122916433 aut CESifo working paper 5182 : Category 7, Monetary policy and international finance (DE-604)BV014083264 5182 https://www.cesifo.org/DocDL/cesifo1_wp5182.pdf Verlag kostenfrei Volltext |
| spellingShingle | Aldasoro, Iñaki Delli Gatti, Domenico 1957- Faia, Ester 1973- Bank networks contagion, systemic risk and prudential policy CESifo working paper |
| title | Bank networks contagion, systemic risk and prudential policy |
| title_auth | Bank networks contagion, systemic risk and prudential policy |
| title_exact_search | Bank networks contagion, systemic risk and prudential policy |
| title_full | Bank networks contagion, systemic risk and prudential policy Iñaki Aldasoro ; Domenico Delli Gatti ; Ester Faia |
| title_fullStr | Bank networks contagion, systemic risk and prudential policy Iñaki Aldasoro ; Domenico Delli Gatti ; Ester Faia |
| title_full_unstemmed | Bank networks contagion, systemic risk and prudential policy Iñaki Aldasoro ; Domenico Delli Gatti ; Ester Faia |
| title_short | Bank networks |
| title_sort | bank networks contagion systemic risk and prudential policy |
| title_sub | contagion, systemic risk and prudential policy |
| url | https://www.cesifo.org/DocDL/cesifo1_wp5182.pdf |
| volume_link | (DE-604)BV014083264 |
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