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Networks, Shocks, and Systemic Risk
Acemoglu, Daron - 2015
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for … small, we provide a fairly complete characterization of the structure of equilibrium, clarifying the role of network … literature on the role of network linkages in fostering systemic risk …
Persistent link: https://www.econbiz.de/10013027904
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Networks, Shocks, and Systemic Risk
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for … small, we provide a fairly complete characterization of the structure of equilibrium, clarifying the role of network … literature on the role of network linkages in fostering systemic risk …
Persistent link: https://www.econbiz.de/10014036420
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The credit quality channel : modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011381702
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Robust-less-fragile : tackling systemic risk and financial contagion in a macro agent-based model
Pallante, Gianluca; Guerini, Mattia; Napoletano, Mauro; … - 2024
dynamics of an interbank network in the money market. The extended model allows banks to directly exchange funds, while … evaluating their interbank positions using a network- based clearing mechanism (NEVA, see Barucca et al., 2020). These novel adds … concerning the topology of the interbank network, as well as the dynamics of individual banks’ balance sheets. Policy results …
Persistent link: https://www.econbiz.de/10014500985
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Measuring systemic financial stress and its impact on the macroeconomy
Chavleishvili, Sulkhan; Kremer, Manfred - 2021 - Version: February 9, 2021
This paper proposes a general statistical framework for systemic financial stress indexes. Several existing index designs can be represented as special cases. We introduce a daily variant of the ECB's CISS for the euro area and the US. The CISS aggregates a representative set of stress...
Persistent link: https://www.econbiz.de/10013328812
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Networks, shocks, and systemic risk
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
Persistent link: https://www.econbiz.de/10011347393
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Networks, shocks, and systemic risk
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - In: The Oxford handbook of the economics of networks, (pp. 569-607). 2016
Persistent link: https://www.econbiz.de/10011504175
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Networks, shocks, and systemic risk
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
Persistent link: https://www.econbiz.de/10010496148
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Networks, Shocks, and Systemic Risk
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - In: The Oxford handbook of the economics of networks. 2016
Persistent link: https://www.econbiz.de/10012880984
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Networks, Shocks, and Systemic Risk
Acemoglu, Daron - 2015
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for … small, we provide a fairly complete characterization of the structure of equilibrium, clarifying the role of network … literature on the role of network linkages in fostering systemic risk …
Persistent link: https://www.econbiz.de/10012457735