کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999000 936762 2013 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Systemic liquidity shortages and interbank network structures
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Systemic liquidity shortages and interbank network structures
چکیده انگلیسی

This paper aims to shed light on the systemic nature of liquidity risk and to propose a method for calculating systemic liquidity shortages. Our method incorporates not only direct liquidity shortages but also indirect liquidity shortages due to the knock-on effects through interbank linkages. We perform a simulation with a simple banking system model and find that a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater imbalance in liquidity positions across banks tends to aggravate the liquidity shortage of a deficit bank. According to comparative analysis between different types of network structures, a core-periphery network with a deficit money center bank gives rise to the highest level of systemic liquidity shortage, and a banking system becomes more vulnerable to liquidity shocks as its interbank network becomes more ill-matched.


► We propose a method for calculating systemic liquidity shortages.
► We find that a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank.
► Meanwhile, a greater imbalance in liquidity positions across banks tends to aggravate the liquidity shortage of a deficit bank.
► A core-periphery network with a deficit money center bank gives rise to the highest level of systemic liquidity shortages.
► A banking system becomes more vulnerable to liquidity shocks as its interbank network becomes more ill-matched.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 9, Issue 1, April 2013, Pages 1–12
نویسندگان
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