| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26049 |
| 来源ID | Working Paper 26049 |
| The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach | |
| Jonas Heipertz; Amine Ouazad; Romain Rancière | |
| 发表日期 | 2019-07-08 |
| 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 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w26049 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583722 |
| 推荐引用方式 GB/T 7714 | Jonas Heipertz,Amine Ouazad,Romain Rancière. The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26049.pdf（871KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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