Contagious herding and endogenous network formation in financial networks
In: Discussion paper Eurosystem
32 Ergebnisse
Sortierung:
In: Discussion paper Eurosystem
In: Discussion paper
In: Series 2, Banking and financial studies 12/2011
This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms of systemic risk require different optimal policy responses. -- Systemic risk ; contagion ; common shocks ; multi-agent simulations
In: Bundesbank Discussion Paper No. 23/2014
SSRN
In: ECB Working Paper No. 1700
SSRN
Working paper
In: Bundesbank Series 2 Discussion Paper No. 2011,12
SSRN
In: Deutsche Bundesbank Discussion Paper 44/2014
SSRN
Working paper
SSRN
Working paper
In: Bundesbank Discussion Paper No. 44/2014
SSRN
In: Aus Politik und Zeitgeschichte: APuZ, Band 62, Heft 13, S. 35-40
ISSN: 0479-611X
World Affairs Online
The breakdown of the interbank money markets in the face of the recent financial crisis has forced central banks and governments to take extraordinary measures to sustain financial stability. In this paper we investigate which influence central bank activity has on interbank markets. In our model, banks optimize a portfolio of risky investments and riskless excess reserves according to their risk and liquidity preferences. They are linked via interbank loans and face a stochastic supply of household deposits. We then introduce a central bank into the model and show that central bank activity enhances financial stability. We model the default of a large bank and analyse the resulting contagion effects. This is compared to a common shock that hits banks who have invested in similiar assets. Our results indicate that common shocks are not subordinate to contagion effects, but are instead the greater threat to systemic stability.
BASE
In New Keynesian as well as in Post Keynesian macroeconomic models, money supply is assumed to be endogenous. The reasons for the endogeneity and the role of the financial sector in the supply process, however, are seen very different. In this paper we explicitly derive the behaviour of the banking sector regarding the supply of loans and the demand for reserves from portfolio and liquidity considerations. As a result, the money multiplier as well as the money base are endogenously determined. Although the microeconomics of the bank behaviour is quite simple, credit and money as well as bonds demand depend on policy variables in a non-linear and non-monotonous way.
BASE
In: HEC Paris Research Paper No. FIN-2020-1358
SSRN
In: Research policy: policy, management and economic studies of science, technology and innovation, Band 50, Heft 6, S. 104236
ISSN: 1873-7625
In: In: Research Policy, Band 50, Heft 6, S. 2021
SSRN
Working paper
SSRN
Working paper