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Output costs of sovereign crises: some empirical estimates

De Paoli, Bianca; Hoggarth, Glenn; Saporta, Victoria - Bank of England - 2009

Avoiding the broader output losses to their economy is likely to be the key reason why governments avoid debt crises. Despite this, there has been little work that seeks to quantify output losses associated with such crises. This paper seeks to fill this gap. We find that debt crisis episodes...

Persistent link: https://www.econbiz.de/10005357315

Common determinants of currency crises: role of external balance sheet variables

Licchetta, Mirko - Bank of England - 2009

This paper investigates the role of external balance sheet variables as determinants of currency crises in emerging market (EME) and advanced economies. A random effect probit model is used in a panel of 40 countries with monthly data over the January 1980-December 2004 period. The main results...

Persistent link: https://www.econbiz.de/10010704401

Funding liquidity risk in a quantitative model of systemic stability

Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - Bank of England - 2009

We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...

Persistent link: https://www.econbiz.de/10009228596

A network model of financial system resilience

Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - Bank of England - 2012

contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network …

Persistent link: https://www.econbiz.de/10010839048

Size and complexity in model financial systems

Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - Bank of England - 2012

direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via …

Persistent link: https://www.econbiz.de/10010839052

Contagion in financial networks

Gai, Prasanna; Kapadia, Sujit - Bank of England - 2010

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the … probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure … probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the …

Persistent link: https://www.econbiz.de/10010704384

System-wide liquidity risk in the United Kingdom’s large-value payment system: an empirical analysis

Perlin, Marcelo; Schanz, Jochen - Bank of England - 2011

When settling their own liabilities and those of their clients, settlement banks rely on incoming payments to fund a part of their outgoing payments. We investigate their behaviour in CHAPS, the United Kingdom’s large-value payment system. Our estimates suggest that in normal times, banks...

Persistent link: https://www.econbiz.de/10010704386

Liquidity risk, cash-flow constraints and systemic feedbacks

Kapadia, Sujit; Drehmann, Mathias; Elliott, John; … - Bank of England - 2012

which these channels of contagion operate, and conduct illustrative simulations to show how liquidity feedbacks may markedly …

Persistent link: https://www.econbiz.de/10010704394

Network models and financial stability

Nier, Erlend; Yang, Jing; Yorulmazer, Tanju; Alentorn, … - Bank of England - 2008

connectivity is non-monotonic, that is, initially a small increase in connectivity increases the contagion effect; but after a … consider how the risk of contagion might depend on the degree of asymmetry (tiering) inherent in the structure of the banking …

Persistent link: https://www.econbiz.de/10009145596