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Bank Networks: Contagion, Systemic Risk and Prudential Policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - C.E.P.R. Discussion Papers - 2015
traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …
Persistent link: https://www.econbiz.de/10011252622
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Liquidity Risk in Securities Settlement
Devriese, Johan; Mitchell, Janet - C.E.P.R. Discussion Papers - 2005
This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second round settlement failures triggered by the...
Persistent link: https://www.econbiz.de/10005792365
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Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk
Acharya, Viral V; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2003
cost of borrowing for the surviving banks. Such information contagion is thus costly to bank owners. Given their limited … rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the … localized nature of contagion and herding, and the welfare properties, are also characterized. …
Persistent link: https://www.econbiz.de/10005504423
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Systemic Risk: A Survey
de Bandt, Olivier; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000
related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10005114152
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Lehman Brothers: What Did Markets Know?
Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2014
On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...
Persistent link: https://www.econbiz.de/10011083604
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Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis
Acharya, Viral V; Merrouche, Ouarda - C.E.P.R. Discussion Papers - 2012
We study the liquidity demand of large settlement (first-tier) banks in the UK and its effect on the Sterling Money Markets before and during the sub-prime crisis of 2007-08. Liquidity holdings of large settlement banks experienced on average a 30% increase in the period immediately following...
Persistent link: https://www.econbiz.de/10011084226
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Contagion in financial networks: A threat index
Demange, Gabrielle - C.E.P.R. Discussion Papers - 2012
An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model...
Persistent link: https://www.econbiz.de/10011084240
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Asset Market Linkages in Crisis Periods
Vries, Casper G de; Hartmann, Philipp; Straetmans, Stefan - C.E.P.R. Discussion Papers - 2001
likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds …
Persistent link: https://www.econbiz.de/10005661503
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Fire Sales, Foreign Entry and Bank Liquidity
Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2007
Bank liquidity is a crucial determinant of the severity of banking crises. In this paper, we consider the effect of fire sales and foreign entry on banks' ex ante choice of liquid asset holdings, and the ex post resolution of crises. In a setting with limited pledgeability of risky cash flows...
Persistent link: https://www.econbiz.de/10005123848
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Aggregate Risk and the Choice between Cash and Lines of Credit
Acharya, Viral V; Almeida, Heitor; Campello, Murillo - C.E.P.R. Discussion Papers - 2012
We model corporate liquidity policy and show that aggregate risk exposure is a key determinant of how firms choose between cash and bank credit lines. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get credit...
Persistent link: https://www.econbiz.de/10011083590