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Endogenous liquidity and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009
. Our model is well-suited to study the contagion-like eects of liquidity shocks. …
Persistent link: https://www.econbiz.de/10010884503
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Financial contagion through capital connections: a model of the origin and spread of bank panics
Dasgupta, Amil - London School of Economics (LSE) - 2002
Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and … failure of a financial institution. We show that contagion is possible in the unique equilibrium of the economy and … of contagion risk. Our results suggest that when the probability of bank failure is low, maximal levels of interbank …
Persistent link: https://www.econbiz.de/10010884582
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Equilibrium analysis, banking, contagion and financial fragility
Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003
for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …
Persistent link: https://www.econbiz.de/10010884714
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Market quality and contagion in fragmented markets
Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013
proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …
Persistent link: https://www.econbiz.de/10011171758
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Systemic sovereign risk: macroeconomic implications in the euro area
Bahaj, Saleem A. - London School of Economics (LSE) - 2014
What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...
Persistent link: https://www.econbiz.de/10011126365