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Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015

traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate …

Persistent link: https://www.econbiz.de/10012061674

Why are banks not recapitalized during crises?

Crosignani, Matteo - 2017

I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...

Persistent link: https://www.econbiz.de/10011710170

How excessive is banks' maturity transformation?

Segura, Anatoli; Suárez, Javier - 2016

We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...

Persistent link: https://www.econbiz.de/10011974655

Shadow bank runs

Andolfatto, David; Nosal, Ed - 2020

Commission and the Federal Reserve. We conclude that the conventional view concerning the societal benefits of liquidity …

Persistent link: https://www.econbiz.de/10012262222

A Model of the Lender of Last Resort

Goodhart, Charles; Huang, Haizhou - 2008

This paper develops a model of the lender of last resort (LOLR). In a simple one-period setting, the Central Bank (CB) should only rescue banks which are above a threshold size, thus providing an analytical basis for "too big too fail". We also provide a rationale for "constructive ambiguity"....

Persistent link: https://www.econbiz.de/10014145165

Shadow Bank Runs

Andolfatto, David; Nosal, Ed - 2020

Commission and the Federal Reserve. We conclude that the conventional view concerning the societal benefits of liquidity …

Persistent link: https://www.econbiz.de/10014048855

Endogenous Choice of Bank Liquidity : The Role of Fire Sales

Acharya, Viral V. - 2010

Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, we consider the effect of … purchasing assets. There is also a social benefit since greater banking system liquidity reduces inefficiency from liquidation of … markets, banks hold less liquidity than is socially optimal due to risk-shifting incentives; otherwise, banks may hold even …

Persistent link: https://www.econbiz.de/10013150020

Interbank network as a channel of credit contagion in banks : is moral hazard transferable?

Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through...

Persistent link: https://www.econbiz.de/10013407507

Asset returns and financial fragility

Li, Yang - 2016

What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...

Persistent link: https://www.econbiz.de/10011444259

Contagious Bank Runs and Committed Liquidity Support

Li, Zhao; Ma, Kebin - 2021

runs and falling asset prices and limits the effectiveness of traditional emergency liquidity assistance programs. We … explain how a regulator can set up committed liquidity support to contain contagion and stabilize asset prices even without …

Persistent link: https://www.econbiz.de/10013241673