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Credit market competition and liquidity crises

Elena, Carletti; Leonello, Agnese - 2014

We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …

Persistent link: https://www.econbiz.de/10010249670

Network formation and heterogeneous risks

Cabrales, Antonio; Gottardi, Piero - 2024

We study a new model to study the effect of contract externalities that arise through shock transmission. We model a …

Persistent link: https://www.econbiz.de/10014534063

CBDC and the operational framework of monetary policy

Abad, Jorge; Nuño, Galo; Thomas, Carlos - 2024

We analyze the impact of introducing a central bank-issued digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy as a whole. To this end, we develop a New Keynesian model with heterogeneous banks, a frictional interbank market, a central bank with deposit...

Persistent link: https://www.econbiz.de/10014456302

Risk-sharing and contagion in networks

Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2014 - This version: January 15, 2014

resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …

Persistent link: https://www.econbiz.de/10010260030

Dispersed information and the origins of aggregate fluctuations

Grazzini, Jakob; Massaro, Domenico - 2016

In the presence of dispersed information, agents may decide to take into account the actions of other agents because of the possible additional information conveyed by these actions. We call the act of using other agents' actions in the individual decision process social learning. This paper...

Persistent link: https://www.econbiz.de/10011489440

Business cycle effects of credit and technology shocks in a DSGE model with firm defaults

Pesaran, M. Hashem; Xu, TengTeng - 2011

financial institutions in the transmission of credit and technology shocks to the real economy. A positive credit shock, defined … between loan and deposit rates. The effects of the credit shock tend to be highly persistent even without price rigidities and …

Persistent link: https://www.econbiz.de/10009312180

Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities

Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

Persistent link: https://www.econbiz.de/10015061135

Contagion in stable networks

Bougheas, Spiros P. - 2017

them but suffer losses through contagion when any agent on a path connected to them is hit by a shock. We first consider …

Persistent link: https://www.econbiz.de/10011735929

Financial constraints and propagation of shocks in production networks

Demir, Banu; Javorcik, Beata K. Smarzynska; Michalski, … - 2020

strategy exploits the heterogeneous impact of the shock on importers. The results indicate that this relatively minor, non …-localized shock had a non-trivial economic impact on exposed firms and propagated downstream through affected suppliers. Additional … empirical tests, motivated by a simple theory, demonstrate that low-liquidity firms amplified its transmission. …

Persistent link: https://www.econbiz.de/10012294883

Simultaneous search and network efficiency

Gautier, Pieter; Holzner, Christian - 2011

When workers send applications to vacancies they create a network. Frictions arise if workers do not know where other workers apply to (this affects network creation) and firms do not know which candidates other firms consider (this affects network clearing). We show that those frictions and the...

Persistent link: https://www.econbiz.de/10009239488