全球智库信息集成服务系统(G2TT): DP13855 The Transmission of Shocks in EndogenousFinancial Networks: A Structural Approach

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13855
	DP13855 The Transmission of Shocks in EndogenousFinancial Networks: A Structural Approach
	Romain Rancière; Amine Ouazad; Jonas Heipertz
发表日期	2019-07-12
出版年	2019
语种	英语
摘要	The paper uses bank- and instrument-level data on asset holdings and liabilities to identify and estimate a general equilibrium model of trade in financial instruments. Bilateral ties are formed as each bank selects the size and the diversification of its assets and liabilities. Shocks propagate due to the response, rather than the size, of bilateral ties to such shocks. This general equilibrium propagation of shocks reveals a financial network where the strength of a tie is determined by the sensitivity of an instrument's return to other instruments' returns. General equilibrium analysis predicts the propagation of real, financial and policy shocks. The network's shape adjusts endogenously in response to shocks, to either amplify or mitigate partial equilibrium shocks. The network exhibits key theoretical properties: (i) more connected networks lead to less amplification of partial equilibrium shocks, (ii) the influence of a bank's equity is independent of the size of its holdings; (ii) more risk-averse banks are more diversified, lowering their own volatility but increasing their influence on other banks. The general equilibrium based network model is structurally estimated on disaggregated data for the universe of French banks. We used the estimated network to assess the effects of ECB quantitative easing policy on asset prices, balance-sheets, individual bank distress risk, and networks systemicness.
主题	Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	Endogenous networks Asset trade Asset and liability management General equilibrium
URL	https://cepr.org/publications/dp13855
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/542731
推荐引用方式 GB/T 7714	Romain Rancière,Amine Ouazad,Jonas Heipertz. DP13855 The Transmission of Shocks in EndogenousFinancial Networks: A Structural Approach. 2019.