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Systemic Runs and the Dimension of Financial Fragility

Author

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  • Gerrit Meyerheim

Abstract

Financial institutions meet withdrawals by selling overlapping portfolios, so creditor runs and market prices are jointly determined. I derive an exact asset-market representation. A local architecture rank bounds propagation dimensions for queries that factor through bank-cushion shocks and withdrawal outcomes. One-mode alignment delivers a global scalar representation, while one dominant mode emerges near local spectral instability. A date-0 maturity measure supplies liabilities across cumulative stress windows. Liquidity, depth, and recovery jointly determine local amplification and a hump-shaped uniqueness envelope. Runnable maturity and common-asset exposure can be locally excessive in an ex ante balance-sheet game. State-contingent regulatory wedges incorporate every feedback round. Their expectations govern unconditional date-0 charges. The Jacobian rank of the state-contingent wedge map gives the minimum local regulatory-state dimension. The feedback-mediated propagation dimension of those wedges is bounded by the architecture rank. Left-right centralities rank equal-cost stability interventions.

Suggested Citation

  • Gerrit Meyerheim, 2026. "Systemic Runs and the Dimension of Financial Fragility," CESifo Working Paper Series 12964, CESifo.
    • Handle: RePEc:ces:ceswps:_12964
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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