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Bank contagion in general equilibrium

Gespeichert in:

Personen und Körperschaften: Ferrari, Massimo Minesso (VerfasserIn)
Titel: Bank contagion in general equilibrium/ Massimo Minesso Ferrari
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2020]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2432 (June 2020)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and size of a cascade (a sequence of defaults) generated by a single initial episode. Those variables are a key component to understand systemic risk and to assess the stability of the banking system. In extreme scenarios, the system may experience a phase transition when the consequences of one single initial shock affect the entire population. I show that the size and probability of a cascade evolve along the business cycle and how they respond to exogenous shocks. Financial shocks have a larger impact on contagion probability than real shocks that, however, are long lasting. Additionally I find that monetary policy faces a trade off between financial stability and macroeconomic stabilization. Government spending shocks, on the contrary, have smaller effects on both.
Umfang: 1 Online-Ressource (circa 69 Seiten); Illustrationen
ISBN: 9789289940757
9289940751
DOI: 10.2866/391074