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Interconnectedness, Systemic Crises and Recessions

Espinosa-Vega, Marco A; Russell, Steven - International Monetary Fund (IMF) - 2015

] Interconnectedness among financial institutions (banks) can play a major role in precipitating systemic financial crises. [2] Lack of … liquidating risky loans. Interconnectedness among their asset portfolios can obscure information about these portfolios, causing … interconnectedness. The optimal degree of regulation, which may depend on depositorsâ€™ degree of risk aversion, may not eliminate …

Persistent link: https://www.econbiz.de/10011242384

Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe

Nitschka, Thomas - 2011

contrast, a bank’s interconnectedness is regarded as an indicator of its exposure to systemic risk. International interbank …

Persistent link: https://www.econbiz.de/10010305919

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/10011382358

The short-term Danish interbank market before, during and after the financial crisis

Abildgren, Kim; Albrechtsen, Nicolaj; Kristoffersen, … - 2015

The short-term Danish interbank market before, during and after the financial crisis The paper studies the microstructure of the short-term uncollateralised Danish interbank market before, during and after the financial crisis. The financial crisis in 2008 was followed by a slowdown in trading...

Persistent link: https://www.econbiz.de/10011557047

Macro-networks: an application to the euro area financial accounts

Castrén, Olli; Rancan, Michela - 2013

interconnectedness in different instrument categories before the financial crisis hit in 2007, and a sharp retrenchment from bilateral …

Persistent link: https://www.econbiz.de/10011605555

Interconnectedness in the global financial market

Raddant, Matthias; Kenett, Dror Y. - 2017

different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network …

Persistent link: https://www.econbiz.de/10011636545

Mapping the interconnectedness between EU banks and shadow banking entities

Abad, Jorge; D'Errico, Marco; Killeen, Neill; Luz, Vera; … - 2017

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk...

Persistent link: https://www.econbiz.de/10011984823

Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market

Fiedor, Paweł; Lapschies, Sarah; Orszaghova, Lucia - 2017

We perform a network analysis of the centrally cleared interest rate derivatives market in the European Union, by looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross notional is transferred within central counterparties and...

Persistent link: https://www.econbiz.de/10011984837

Interbank network and bank bailouts: Insurance mechanism for non-insured creditors?

Eisert, Tim; Eufinger, Christian - 2014

artificially channeling funds through the interbank market, which leads to high interconnectedness. Moreover, given that banks are …

Persistent link: https://www.econbiz.de/10012064256

Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, … - 2018

An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine similarity, and show that insurers with more similar portfolios have larger...

Persistent link: https://www.econbiz.de/10011892933