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A Model of Financial Fragility

Citations

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Cited by:

  1. Lizarazo, Sandra, 2009. "Contagion of Financial Crises in Sovereign Debt Markets," MPRA Paper 20795, University Library of Munich, Germany, revised 06 Feb 2010.
  2. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 35, European Central Bank.
  3. Yaron Leitner, 2004. "Financial networks: contagion, commitment, and private sector bailouts," Working Papers 02-9, Federal Reserve Bank of Philadelphia.
  4. Goldstein, Itay & Razin, Assaf, 2015. "Three Branches of Theories of Financial Crises," Foundations and Trends(R) in Finance, now publishers, vol. 10(2), pages 113-180, 30.
  5. Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, April.
  6. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn & Michailidis, George, 2019. "Interconnectedness in the interbank market," Journal of Financial Economics, Elsevier, vol. 133(2), pages 520-538.
  7. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
  8. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
  9. Roger Lagunoff & Stacey L. Schreft, 1999. "Financial fragility with rational and irrational exuberance," Proceedings, Federal Reserve Bank of Cleveland, pages 531-567.
  10. Andreas Lehnert & Wayne Passmore, 1999. "Pricing systemic crises: monetary and fiscal policy when savers are uncertain," Finance and Economics Discussion Series 1999-33, Board of Governors of the Federal Reserve System (U.S.).
  11. Jaremski, Matthew & Wheelock, David C., 2020. "The Founding of the Federal Reserve, the Great Depression, and the Evolution of the U.S. Interbank Network," The Journal of Economic History, Cambridge University Press, vol. 80(1), pages 69-99, March.
  12. Samuel Mwangi Kiemo & Tobias O. Olweny & Willy M. Muturi & Lucy W. Mwangi, 2019. "Bank-Specific Determinants of Commercial Banks Financial Stability in Kenya," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(1), pages 1-5.
  13. Maryam Farboodi, 2014. "Intermediation and Voluntary Exposure to Counterparty Risk," 2014 Meeting Papers 365, Society for Economic Dynamics.
  14. Franklin Allen & Douglas Gale, 2000. "Financial Contagion," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 1-33, February.
  15. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
  16. Shanshan Jiang & Jie Wang & Ruiting Dong & Yutong Li & Min Xia, 2023. "Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market," Sustainability, MDPI, vol. 15(3), pages 1-24, February.
  17. Clark, Ephraim & Jokung, Octave, 2015. "The role of regulatory credibility in effective bank regulation," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 506-513.
  18. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
  19. Ladley, Daniel, 2013. "Contagion and risk-sharing on the inter-bank market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1384-1400.
  20. Russell W. Cooper & Dean Corbae, 2001. "Financial collapse and active monetary policy: a lesson from the Great Depression," Staff Report 289, Federal Reserve Bank of Minneapolis.
  21. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
  22. Hamed Amini & Rama Cont & Andreea Minca, 2011. "Resilience to Contagion in Financial Networks," Papers 1112.5687, arXiv.org.
  23. Piotr Berman & Bhaskar DasGupta & Lakshmi Kaligounder & Marek Karpinski, 2011. "On the Computational Complexity of Measuring Global Stability of Banking Networks," Papers 1110.3546, arXiv.org, revised Mar 2013.
  24. Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
  25. Mr. Jorge A Chan-Lau, 2010. "The Global Financial Crisis and its Impact on the Chilean Banking System," IMF Working Papers 2010/108, International Monetary Fund.
  26. Paasche, Bernhard, 2001. "Credit constraints and international financial crises," Journal of Monetary Economics, Elsevier, vol. 48(3), pages 623-650, December.
  27. Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 115-139, Springer.
  28. Laura E. Kodres & Matthew Pritsker, 1998. "A rational expectations model of financial contagion," Finance and Economics Discussion Series 1998-48, Board of Governors of the Federal Reserve System (U.S.).
  29. Franz R. Hahn, 1998. "Currency Crises. A Challenge for Economic Theory and Policy," Austrian Economic Quarterly, WIFO, vol. 3(4), pages 183-190, October.
  30. Carlos Ramírez, 2019. "Regulating Financial Networks Under Uncertainty," Finance and Economics Discussion Series 2019-056, Board of Governors of the Federal Reserve System (U.S.).
  31. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
  32. Liang Liu & Hang Le & Steve Thompson, 2022. "CEO overconfidence and bank systemic risk: Evidence from U.S. bank holding companies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2977-2996, July.
  33. Garita, Gus, 2011. "The reciprocal relationship between systemic risk and real economic activity," MPRA Paper 33135, University Library of Munich, Germany.
  34. J.L. Geluk & L. de Haan & C.G. de Vries, 2007. "Weak & Strong Financial Fragility," Tinbergen Institute Discussion Papers 07-023/2, Tinbergen Institute.
  35. Ekaterina Dorodnykh, 2014. "Determinants of stock exchange integration: evidence in worldwide perspective," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 292 - 316, March.
  36. Ana Babus, 2016. "The formation of financial networks," RAND Journal of Economics, RAND Corporation, vol. 47(2), pages 239-272, May.
  37. Zsolt Becsi & Victor Li & Ping Wang, 2002. "Mismatch in Credit Markets," Departmental Working Papers 2002-03, Department of Economics, Louisiana State University.
  38. Occhino, Filippo, 2017. "Debt-overhang banking crises: Detecting and preventing systemic risk," Journal of Financial Stability, Elsevier, vol. 30(C), pages 192-208.
  39. Klaus Abberger & Biswa Nath Bhattacharyay & Chang Woon Nam & Gernot Nerb & Siegfried Schönherr, 2014. "How Can the Crisis Vulnerability of Emerging Economies Be Reduced?," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 65.
  40. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
  41. Marco A. Espinosa‐Vega & Juan Solé, 2011. "Cross‐border financial surveillance: a network perspective," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 3(3), pages 182-205, August.
  42. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Papers (Old Series) 1309, Federal Reserve Bank of Cleveland.
  43. Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
  44. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
  45. Ricardo J. Caballero & Alp Simsek, 2009. "Complexity and Financial Panics," NBER Working Papers 14997, National Bureau of Economic Research, Inc.
  46. Ricardo J. Caballero & Alp Simsek, 2013. "Fire Sales in a Model of Complexity," Journal of Finance, American Finance Association, vol. 68(6), pages 2549-2587, December.
  47. Teteryatnikova, Mariya, 2014. "Systemic risk in banking networks: Advantages of “tiered” banking systems," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 186-210.
  48. Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  49. Hüser, Anne-Caroline, 2016. "Too interconnected to fail: A survey of the Interbank Networks literature," SAFE Working Paper Series 91, Leibniz Institute for Financial Research SAFE, revised 2016.
  50. Assaf Razin & Itay Goldstein, 2012. "Review Of Theories of Financial Crises," 2012 Meeting Papers 214, Society for Economic Dynamics.
  51. Hitoshi Hayakawa, 2020. "Liquidity in Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 253-301, January.
  52. John Nkwoma Inekwe & Yi Jin & Maria Rebecca Valenzuela, 2018. "Global financial network and liquidity risk," Australian Journal of Management, Australian School of Business, vol. 43(4), pages 593-613, November.
  53. Jiang, Shanshan & Fan, Hong, 2021. "Systemic risk in the interbank market with overlapping portfolios and cross-ownership of the subordinated debts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
  54. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
  55. Beck, Thorsten & Carletti, Elena & Goldstein, Itay, 2016. "Financial Regulation in Europe: Foundations and Challenges," CEPR Discussion Papers 11147, C.E.P.R. Discussion Papers.
  56. Shanshan Jiang & Hong Fan, 2019. "Systemic Risk in the Interbank Market with Overlapping Portfolios," Complexity, Hindawi, vol. 2019, pages 1-12, April.
  57. Wang, Lanfang & Wang, Susheng, 2012. "Endogenous networks in investment syndication," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 640-663.
  58. Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
  59. James Peck & Karl Shell, 2003. "Bank Portfolio Restrictions and Equilibrium Bank Runs," Levine's Bibliography 666156000000000077, UCLA Department of Economics.
  60. Bhaskar DasGupta & Lakshmi Kaligounder, 2012. "On Global Stability of Financial Networks," Papers 1208.3789, arXiv.org, revised Aug 2014.
  61. Soumya Datta, 2005. "Chaotic Dynamics Of Financing Investment," Metroeconomica, Wiley Blackwell, vol. 56(1), pages 58-84, February.
  62. Lopomo Beteto Wegner, Danilo, 2020. "Liquidity policies and financial fragility," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 135-153.
  63. Ramírez, Carlos, 2020. "Regulating financial networks under uncertainty," ESRB Working Paper Series 107, European Systemic Risk Board.
  64. Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
  65. Syed Faizan Iftikhar, 2015. "Financial Reforms and Financial Fragility: A Panel Data Analysis," IJFS, MDPI, vol. 3(2), pages 1-18, April.
  66. R. Andergassen, 2002. "financial contagion and asset price dynamics," Working Papers 448, Dipartimento Scienze Economiche, Universita' di Bologna.
  67. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 6(2), pages 47-79, September.
  68. James B. Bullard & Christopher J. Neely & David C. Wheelock, 2009. "Systemic risk and the financial crisis: a primer," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 403-418.
  69. Filippo Occhino, 2014. "Debt-Overhang Banking Crises," Working Papers (Old Series) 1425, Federal Reserve Bank of Cleveland.
  70. Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.
  71. Paolo Di Caro & Giuseppe Pernagallo & Antonino Damiano Rossello & Benedetto Torrisi, 2019. "Empirical facts characterizing banking crises: an analysis via binary time series," Papers 1904.12526, arXiv.org.
  72. Bank for International Settlements, 2001. "Marrying the macro- and micro-prudential dimensions of financial stability," BIS Papers, Bank for International Settlements, number 01.
  73. William Nelson & Wayne Passmore, 2001. "Pragmatic monitoring of financial stability," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 367-384, Bank for International Settlements.
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