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The systemic implications of bail-in : a multi-layered network approach

Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok Sørensen, … - 2017

We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a...

Persistent link: https://www.econbiz.de/10011636947

Decomposing systemic risk : the roles of contagion and common exposures

Hałaj, Grzegorz; Hipp, Ruben - 2024

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common...

Persistent link: https://www.econbiz.de/10014527066

Multiple lending, credit lines and financial contagion

Cappelletti, Giuseppe; Mistrulli, Paolo Emilio - 2017

Multiple lending has been widely investigated from both an empirical and a theoretical perspective. Nevertheless, the implications of multiple lending for the stability of the banking system still need to be understood. By lending to a common set of borrowers, banks are interconnected and then...

Persistent link: https://www.econbiz.de/10011697357

Firm-specific shocks and contagion : are banks special?

Engljähringer, Hannah Katharina; Stracca, Livio - 2020

This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn...

Persistent link: https://www.econbiz.de/10012299006

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

Persistent link: https://www.econbiz.de/10012163949

Interconnected banks and systemically important exposures

Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019

We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct … interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The … second channel is an indirect interconnectedness, via exposures to common asset classes. To this end, we analyze a unique …