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|a 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.
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Ferrari, Massimo Minesso |
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Ferrari, Massimo Minesso |
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Ferrari, Massimo Minesso |
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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. |
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Europäische Zentralbank: Working paper series |
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2432 |
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Europäische Zentralbank: Working paper series |
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Not Illustrated |
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Frankfurt am Main, Germany, European Central Bank, [2020] |
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Frankfurt am Main, Germany: European Central Bank, [2020] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Bank contagion in general equilibrium |
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1 Online-Ressource (circa 69 Seiten); Illustrationen |
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Europäische Zentralbank, Working paper series, no 2432 (June 2020) |
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Ferrari, Massimo Minesso VerfasserIn aut, Bank contagion in general equilibrium Massimo Minesso Ferrari, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 69 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2432 (June 2020), 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., Europäische Zentralbank Working paper series no 2432 (June 2020) 2432 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2432~b0044d8485.en.pdf Verlag kostenfrei, https://doi.org/10.2866/391074 Resolving-System kostenfrei, http://hdl.handle.net/10419/229046 Resolving-System kostenfrei, https://doi.org/10.2866/391074 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2432~b0044d8485.en.pdf LFER, LFER 2020-08-07T17:43:06Z |
| spellingShingle |
Ferrari, Massimo Minesso, Bank contagion in general equilibrium, Europäische Zentralbank, Working paper series, no 2432 (June 2020), 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. |
| title |
Bank contagion in general equilibrium |
| title_auth |
Bank contagion in general equilibrium |
| title_full |
Bank contagion in general equilibrium Massimo Minesso Ferrari |
| title_fullStr |
Bank contagion in general equilibrium Massimo Minesso Ferrari |
| title_full_unstemmed |
Bank contagion in general equilibrium Massimo Minesso Ferrari |
| title_in_hierarchy |
no 2432 (June 2020). Bank contagion in general equilibrium ([2020]) |
| title_short |
Bank contagion in general equilibrium |
| title_sort |
bank contagion in general equilibrium |
| url |
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2432~b0044d8485.en.pdf, https://doi.org/10.2866/391074, http://hdl.handle.net/10419/229046 |
