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 … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …

-sharing and contagion effects at the same time. We illustrate the relevance of our theory with reference to the subprime mortgage … formed, with respect to what is socially desirable. The risk of contagion increases the volatility of the outcome and thus … reduces the ability of the financial networks to provide risk-sharing. Our analysis suggests that a likely major explanation …

We provide a general characterization of diffusion processes, allowing to analyze both risk-sharing and contagion at … when the economic environment deteriorates. The risk of contagion increases the volatility of outcome and thus reduces the …

common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning … of contagion is large, it is possible for no information to be disclosed in equilibrium but for mandatory disclosure to … increase welfare by allowing investment that would not have occurred otherwise. Absent contagion, mandatory disclosure cannot …

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 …

networks. The mechanism(s) by which this might occur have become the subject of much speculation, but to date little direct …

connectivity is non-monotonic, that is, initially a small increase in connectivity increases the contagion effect; but after a … consider how the risk of contagion might depend on the degree of asymmetry (tiering) inherent in the structure of the banking …