| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8332 |
| DP8332 Systemic Risk and Network Formation in the Interbank Market | |
| Yves Zenou; Eleonora Patacchini; Ethan Cohen-Cole | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose a novel mechanism to facilitate understanding of systemic risk in financial markets. The literature on systemic risk has focused on two mechanisms, common shocks and domino-like sequential default. Our approach is a formal model that provides an intellectual combination of the two by looking at how shocks propagate through a network of interconnected banks. Transmission in our model is not based on default. Instead, we provide a simple microfoundation of banks' profitability based on classic competition incentives. As competitors lending quantities change, both for closely connected ones and the whole market, banks adjust their own lending decisions as a result, generating a `transmission' of shocks through the system. We provide a unique equilibrium characterization of a static model, and embed this model into a full dynamic model of network formation with n agents. Because we have an explicit characterization of equilibrium behavior, we have a tractable way to bring the model to the data. Indeed, our measures of systemic risk capture the propagation of shocks in a wide variety of contexts; that is, it can explain the pattern of behavior both in good times as well as in crisis. |
| 主题 | Financial Economics |
| 关键词 | Financial networks Interbank lending Interconnections Network centrality Spatial autoregressive models. |
| URL | https://cepr.org/publications/dp8332 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537159 |
| 推荐引用方式 GB/T 7714 | Yves Zenou,Eleonora Patacchini,Ethan Cohen-Cole. DP8332 Systemic Risk and Network Formation in the Interbank Market. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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