controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the … modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …

about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed … from observing the actions of peers. When the social belief is strong and the financial network is fragmented, banks follow … endogenously formed interbank networks, however, less informative signals lead to higher network density and less synchronization …

shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …

economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks … and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the … approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes …

cross-border borrowing. Our findings document the severe malfunctioning of the market for liquidity caused by asymmetric …

proprietary ECB datasets, including an interbank network of 26 large euro area banks as well as their overlapping portfolios of …

risk. In this framework, banking sector distress in the form of the joint probability of default of financial … this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

, lead to risk aversion by investors in equities and currencies globally and in some emerging market bonds. Euro area shocks …