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The Founding of the Federal Reserve, the Great Depression and the Evolution of the U.S. Interbank Network

Jaremski, Matthew - 2019

Financial network structure is an important determinant of systemic risk. This paper examines how the U.S. interbank … network evolved over a long and important period that included two key events: the founding of the Federal Reserve and the …, initially reducing overall network concentration. The network became even more focused on Fed cities during the Depression, as …

Persistent link: https://www.econbiz.de/10012894679

The founding of the Federal Reserve, the Great Depression and the evolution of the U.S. interbank network

Jaremski, Matthew; Wheelock, David C. - 2019

Persistent link: https://www.econbiz.de/10011997897

Empirical network contagion for U.S. financial institutions

Duarte, Fernando; Jones, Collin - 2017

We construct an empirical measure of expected network spillovers that arise through default cascades for the U …

Persistent link: https://www.econbiz.de/10011742429

Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets

Eross, Andrea; Urquhart, Andrew; Wolfe, Simon - In: The European journal of finance 25 (2019) 1, pp. 35-53

Persistent link: https://www.econbiz.de/10012206955

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

Persistent link: https://www.econbiz.de/10010471858

Hubs and resilience : towards more realistic models of the interbank markets

Montagna, Mattia; Lux, Thomas - 2013

This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for interbank networks are designed in a way to...

Persistent link: https://www.econbiz.de/10009702915

Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?

Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016

As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but...

Persistent link: https://www.econbiz.de/10011578151

Measuring the capital shortfall of large U.S. banks

Jondeau, Eric; Khalilzadeh, Amir - 2018

We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...

Persistent link: https://www.econbiz.de/10011877252

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012697108

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012061369