| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10540 |
| DP10540 Bank Networks: Contagion, Systemic Risk and Prudential Policy | |
| Ester Faia; Iñaki Aldasoro | |
| 发表日期 | 2015-04-12 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configuration exhibits a core-periphery structure, dis-assortative behavior and low density. 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 increasestability) without reducing significantly overall investment. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Banking networks Systemic risk Contagion Fire sales Prudential regulation |
| URL | https://cepr.org/publications/dp10540 |
| 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/539372 |
| 推荐引用方式 GB/T 7714 | Ester Faia,Iñaki Aldasoro. DP10540 Bank Networks: Contagion, Systemic Risk and Prudential Policy. 2015. |
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