کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7374845 | 1480066 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Epidemics of liquidity shortages in interbank markets
ترجمه فارسی عنوان
اپیدمی فقدان نقدینگی در بازارهای بین بانکی
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کلمات کلیدی
بحران مالی، شوکهای نقدینگی، بازار وام بین بانکی، مدل های اپیدمی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation between banks, and validate it on electronic market for interbank deposits data. We show that the interbank network was highly susceptible to liquidity contagion at the beginning of the 2007/2008 global financial crisis, and that the subsequent micro-prudential and liquidity hoarding policies adopted by banks increased the network resilience to systemic risk-yet with the undesired side effect of drying out liquidity from the market. We finally show that the individual riskiness of a bank is better captured by its network centrality than by its participation to the market, along with the currently debated concept of “too interconnected to fail”.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 507, 1 October 2018, Pages 255-267
Journal: Physica A: Statistical Mechanics and its Applications - Volume 507, 1 October 2018, Pages 255-267
نویسندگان
Giuseppe Brandi, Riccardo Di Clemente, Giulio Cimini,