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Une mesure par simulations de l'efficacité de distribution de la liquidité dans les réseaux interbancaires

Author

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  • Sébastien Vivier-Lirimont
  • Anton Granik

Abstract

We attempt to rank various banking network architectures according to their relative efficiency in distributing liquidity between banks. Using a fictitious economy where individual banks are part of a wider network, we perform a simulationsbased analysis that utilizes two alternative criteria of efficiency: the efficiency of distributive processes and the efficiency of final outcomes. We find that the speed of transactions (measured as the number of time periods required to restore all illiquid banks back to liquidity), the total number of exchanges as well as the rate at which the total number of illiquid banks declines depend on the general architecture and the neighborhood size of a particular network. Thus, network topology is found to be an important factor in understanding the problem of liquidity risk management faced by banks.

Suggested Citation

  • Sébastien Vivier-Lirimont & Anton Granik, 2010. "Une mesure par simulations de l'efficacité de distribution de la liquidité dans les réseaux interbancaires," Revue d'économie industrielle, De Boeck Université, vol. 0(4), pages 85-118.
    • Handle: RePEc:cai:reidbu:rei_132_0085
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