Rollover risk, network structure and systemic financial crises

被引：56

作者：

Anand, Kartik ^{[1
]}

Gai, Prasanna ^{[2
,3
]}

Marsili, Matteo ^{[4
]}

机构：

[1] Tech Univ Berlin, D-10623 Berlin, Germany

[2] Univ Auckland, Dept Econ, Auckland 1142, New Zealand

[3] Natl Univ Singapore, Risk Management Inst, Singapore 119613, Singapore

[4] Abdus Salam Int Ctr Theoret Phys, I-34014 Trieste, Italy

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2012年 / 36卷 / 08期

关键词：

Interbank networks; Credit crisis; Liquidity freeze; CREDIT CONTAGION; EQUILIBRIUM;

D O I：

10.1016/j.jedc.2012.03.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/2008. Drawing on ideas from global games and network growth, we show how network topology interacts with the funding structure of financial institutions to determine system-wide crises. Bad news about a financial institution can lead others to lose confidence in it and their withdrawals, in turn, trigger problems across the interbank network. Once broken, credit relations take a long time to re-establish as a result of common knowledge of the equilibrium. Our findings shed light on public policy responses during and after the crisis. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1088 / 1100

页数：13

共 30 条

[1] Rollover Risk and Market Freezes [J].