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A PÓLYA LATTICE MODEL TO STUDY LEVERAGE DYNAMICS AND CONTAGIOUS FINANCIAL FRAGILITY
CIRILLO, PASQUALE; GALLEGATI, MAURO; HÜSLER, JÜRG - In: Advances in Complex Systems (ACS) 15 (2012) su, pp. 1250069-1
We discuss a special Pólya lattice model to study cascading failures of firms in a simple industrial economy. In particular, every firm is represented by a Pólya-like urn, whose reinforcement is function of time, of the neighboring urns and their compositions, and of a random variable...
Persistent link: https://www.econbiz.de/10011010873
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Fiscal risk and financial fragility
Silva, Thiago Christiano; Guerra, Solange Maria; Tabak, … - 2019
Persistent link: https://www.econbiz.de/10012167361
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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 … for interbank networks are designed in a way to reproduce the frequently documented features of disassortative behavior …
Persistent link: https://www.econbiz.de/10010292729
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Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
Gross, Christian; Siklos, Pierre - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011984861
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Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
Groß, Christian - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012099207
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Economic Insecurity and the Spread of Obesity in Social Networks
Barnes, Michael G.; Smith, Trenton; Yoder, Jonathan K. - School of Economic Sciences, Washington State University - 2010
networks. The mechanism(s) by which this might occur have become the subject of much speculation, but to date little direct …
Persistent link: https://www.econbiz.de/10008583348
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Hubs and resilience: towards more realistic models of the interbank markets
Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013
This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced … for interbank networks are designed in a way to reproduce the frequently documented features of disassortative behavior …
Persistent link: https://www.econbiz.de/10010905570
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Identifying central bank liquidity super-spreaders in interbank funds networks
León, Carlos; Machado, Clara; Sarmiento, Miguel - BANCO DE LA REPÚBLICA - 2014
contagion models based on homogeneous and non-hierarchical networks, and provide further evidence about financial networks’ self … with evidence from other interbank markets and other financial networks regarding the flaws of traditional direct financial … characterizing the actual connective structure of interbank funds networks; (ii) identifying those financial institutions that may be …
Persistent link: https://www.econbiz.de/10010765765
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Information, Matching and Outcome Selection
Masson, Virginie - School of Economics, University of Adelaide - 2011
We consider a finite population of agents who exchange information and are paired every period to play a game with tension between risk dominance and Pareto efficiency. Agents sample past plays and corresponding payoffs from their information neighborhood, and choose one of two possible actions...
Persistent link: https://www.econbiz.de/10008865901
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Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks
León, C.; Machado, C.; Sarmiento, M. - Tilburg University, Center for Economic Research - 2014
contagion models based on homogeneous and non-hierarchical networks. Also, results provide further evidence about financial … with evidence from other interbank markets and other financial networks regarding the flaws of traditional direct financial … networks’ self-organization emerging from complex adaptive financial systems. Our research contributes by (i) examining and …
Persistent link: https://www.econbiz.de/10011092945