From banks' strategies to financial (in)stability
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Título
From banks' strategies to financial (in)stabilityFecha de publicación
2017-01Editor
ElsevierCita bibliográfica
BERARDI, Simone; TEDESCHI, Gabriele. From banks' strategies to financial (in)stability. International Review of Economics & Finance (2017), v. 47, pp. 255-272Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S1059056016302623?np=y&npKey=79 ...Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
This paper aims to shed light on the emergence of systemic risk in credit systems. By developing an interbank market with heterogeneous financial institutions granting loans on different network structures, we inves ... [+]
This paper aims to shed light on the emergence of systemic risk in credit systems. By developing an interbank market with heterogeneous financial institutions granting loans on different network structures, we investigate which market architecture is more resilient to liquidity shocks and how the risk spreads over the modeled system. In our model, credit linkages evolve endogenously via a fitness measure based on different banks' strategies. Each financial institution, in fact, applies a strategy based on a low interest rate, a high supply of liquidity or a combination of them. Interestingly, the choice of the strategy influences both the banks' performance and the network topology. In this way, we are able to identify the most effective tactics adapt to contain contagion and the corresponding network topology. Our analysis shows that, when financial institutions combine the two strategies, the interbank network does not condense and this generates the most efficient scenario in case of shocks. [-]
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International Review of Economics & Finance (2017), v. 47Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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