Journal ArticleDOI
Simulation methods to assess the danger of contagion in interbank markets
TLDR
In this article, the authors provide a critical assessment of the modelling assumptions on which they are based, and discuss their use in financial stability analysis, concluding that contagious defaults are unlikely but cannot be fully ruled out, at least in some countries.About:
This article is published in Journal of Financial Stability.The article was published on 2011-08-01. It has received 642 citations till now. The article focuses on the topics: Interbank lending market & Interbank network.read more
Citations
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Journal ArticleDOI
Complexity, concentration and contagion
TL;DR: In this paper, the authors develop a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage, and show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007-2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages.
Journal ArticleDOI
Financial Networks and Contagion
TL;DR: In this article, the authors model contagions and cascades of failures among organizations linked through a network of financial interdependencies and identify how the network propagates discontinuous changes in asset values triggered by failures.
Journal ArticleDOI
Financial Networks and Contagion
TL;DR: In this paper, the authors study cascades of failures in a network of interdependent financial organizations: how discontinuous changes in asset values (e.g., defaults and shutdowns) trigger further failures, and how this depends on network structure.
Posted Content
Bank Risk-Taking, Securitization, Supervision and Low Interest Rates: Evidence from the Euro Area and the U.S. Lending Standards
TL;DR: The authors found that low monetary policy short-term interest rates soften standards, especially for mortgages, for household and corporate loans, and that this softening is amplified by securitization activity, weak supervision for bank capital and too low for too long monetary policy rates.
Book ChapterDOI
Network Structure and Systemic Risk in Banking Systems
TL;DR: In this paper, the authors present a quantitative methodology for analyzing the potential for contagion and systemic risk in a network of interlinked nancial institutions, using a metric for the systemic importance of institutions: the Contagion Index.
References
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Journal ArticleDOI
Bank Runs, Deposit Insurance, and Liquidity
TL;DR: The authors showed that bank deposit contracts can provide allocations superior to those of exchange markets, offering an explanation of how banks subject to runs can attract deposits, and showed that there are circumstances when government provision of deposit insurance can produce superior contracts.
BookDOI
This Time Is Different: Eight Centuries of Financial Folly
Carmen Reinhart,Kenneth Rogoff +1 more
TL;DR: This Time Is Different as mentioned in this paper presents a comprehensive look at the varieties of financial crises, and guides us through eight astonishing centuries of government defaults, banking panics, and inflationary spikes.
Book
Input-Output Analysis : Foundations and Extensions
Ronald E. Miller,Peter D. Blair +1 more
TL;DR: In this article, the authors provide an introduction to the subject for advanced undergraduate and graduate students in many scholarly fields, including economics, regional science, regional economics, city, regional and urban planning, environmental planning, public policy analysis and public management.
Posted Content
Market liquidity and funding liquidity
TL;DR: In this article, the authors provide a model that links an asset's market liquidity and traders' funding liquidity, i.e., the ease with which they can obtain funding, to explain the empirically documented features that market liquidity can suddenly dry up, has commonality across securities, is related to volatility, is subject to flight to quality, and comoves with the market.
Journal ArticleDOI
No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.