A model of the topology of the bank – firm credit network and its role as channel of contagion
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A model of the topology of the bank – firm credit network and its role as channel of contagionFecha de publicación
2016-05Editor
ElsevierISSN
0165-1889Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S0165188916300161Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a ... [+]
This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model, we find that it shows a pronounced non-linear behavior under shocks: the default of a single unit will mostly have practically no knock-on effects, but might lead to an almost full-scale collapse of the entire system in a certain number of cases. The dependency of the overall outcome on firm characteristics like size or number of loans seems fuzzy. Distinguishing between contagion due to interbank credit and due to joint exposures to counterparty risk via loans to firms, the later channel appears more important for contagious spread of defaults. [-]
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Journal of Economic Dynamics and Control, 2016, Vol. 66Derechos de acceso
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