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Towards a Measure of Financial Fragility
Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2006
This paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...
Persistent link: https://www.econbiz.de/10010661361
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A Time Series Analysis of Financial Fragility in the UK Banking System
Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2004
, computability, and the presence of multiple contagion channels and heterogeneous banks and investors. …
Persistent link: https://www.econbiz.de/10010661459
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Risk Averse Banks and Uncertain Correlation Values: A Theory of Rational Bank Panics
Morrison, Alan - Department of Economics, Oxford University - 2000
We present a model for Financial fragility in which banks are risk-averse portfolio managers and there is uncertainty over risk management parameters. There is a danger of heightened risk aversion and projects in small economies are assumed to be riskier than those in large economies. In this...
Persistent link: https://www.econbiz.de/10010820278
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A Risk Assessment Model for Banks
Tsomocos, Dimitrios P; Goodhart, Charles A.E. - Department of Economics, Oxford University - 2004
The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...
Persistent link: https://www.econbiz.de/10010820299
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A Model to Analyse Financial Fragility: Applications
Tsomocos, Dimitrios P; Goodhart, Charles A.E. - Department of Economics, Oxford University - 2004
, banks and endogenous default, thus allowing various feedback and contagion channels to operate in equilibrium. Such a model …
Persistent link: https://www.econbiz.de/10011146236
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How Likely is Contagion in Financial Networks?
Young, H Peyton; Glasserman, Paul - Department of Economics, Oxford University - 2013
Interconnections among financial institutions create potential channels for contagion and amplification of shocks to … the financial system.  We propose precise definitions of these concepts and analyze their magnitude.  Contagion occurs … occurs when losses among defaulting nodes keep escalating due to their indebtedness to one another.  Contagion is weak if the …
Persistent link: https://www.econbiz.de/10011004139
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Risk Sharing and Network Formation
Fafchamps, Marcel; Gubert, Flore - Department of Economics, Oxford University - 2007
Interpersonal relationships have long been suspected of shaping agrarian institutions, probably because weak formal institutions must be supplemented by interpersonal trust. This is particularly true for informal risk sharing, a fundamental risk coping mechanism for the rural poor (e.g. Mark R....
Persistent link: https://www.econbiz.de/10010604818
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The wage effects from the use of personal contacts as hiring channels
Antoninis, Manos - Department of Economics, Oxford University - 2004
It has been argued that the use of personal networks in the hiring process has a positive influence on the wages of …
Persistent link: https://www.econbiz.de/10010605059
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Information Costs, Networks and Intermediation in International Trade
Petropoulou, Dimitra - Department of Economics, Oxford University - 2007
This paper presents a pairwise matching model with two-sided information asymmetry to analyse the impact of information costs on endogenous network building and matching by information intermedairies. The framework innovates by examining the role of information costs on incentives for trade...
Persistent link: https://www.econbiz.de/10004977860
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Competing for Contacts: Network Competition, Trade Intermediation and Fragmented Duopoly
Petropoulou, Dimitra - Department of Economics, Oxford University - 2007
A two-sided, pair-wise matching model is developed to analyse the strategic interaction between two information intermediaries who compete in commission rates and network size, giving rise to a fragmented duopoly market structure. The model suggests that network competition between information...
Persistent link: https://www.econbiz.de/10005090624