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dc.creatorAldasoro, Iñaki
dc.creatorDelli Gatti, Domenico
dc.creatorFaia, Ester
dc.date.accessioned2021-09-28T09:22:56Z
dc.date.available2021-09-28T09:22:56Z
dc.date.issued2015-07-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2188
dc.description.abstractWe 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 coreperiphery 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 increase stability) without reducing significantly overall investment.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectMacro Finance
dc.titleBank Networks: Contagion, Systemic Risk and Prudential Policy
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1347?Bankscope
dc.source.filename87_SSRN-id2572877
dc.identifier.safeno87
dc.subject.keywordsbanking networks
dc.subject.keywordssystemic risk
dc.subject.keywordscontagion
dc.subject.keywordsfire sales
dc.subject.keywordsprudential regulation
dc.subject.jelD85
dc.subject.jelG21
dc.subject.jelG28
dc.subject.jelC63
dc.subject.jelL14
dc.subject.topic1lend
dc.subject.topic1finally
dc.subject.topic1crucial
dc.subject.topic2face
dc.subject.topic2participation
dc.subject.topic2pni
dc.subject.topic3accord
dc.subject.topic3interlinkages
dc.subject.topic3increase
dc.subject.topic1nameMonetary Policy
dc.subject.topic2nameStability and Regulation
dc.subject.topic3nameSystematic Risk
dc.identifier.doi10.2139/ssrn.2572877


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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International