Aldasoro, Iñaki
[Verfasser:in]
;
Delli Gatti, Domenico
[Sonstige Person, Familie und Körperschaft];
Faia, Ester
[Sonstige Person, Familie und Körperschaft]
Erschienen in:CESifo Working Paper Series ; No. 5182
Umfang:
1 Online-Ressource (51 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2559722
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 30, 2015 erstellt
Beschreibung:
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching algorithm. We compare three alternative matching algorithms: maximum entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment