2015

Static and Dynamic Networks in Interbank Markets

Särtryck nr 2015:19

Författare: Ethan Cohen-Cole, Eleonora Patacchini och Yves ZenouÅr: 2015 Publikation: Network Science Årgång (nr): 3 (1) Sidor: 98–123
Artikeln online (behörighet kan krävas)


This paper proposes a model of network interactions in the interbank market. Our innovation is to model systemic risk in the interbank network as the propagation of incentives or strategic behavior rather than the propagation of losses after default. Transmission in our model is not based on default. Instead, we explain bank profitability based on competition incentives and the outcome of a strategic game. As competitors’ lending decisions change, banks adjust their own decisions as a result: generating a “transmission” of shocks through the system. We provide a unique equilibrium characterization of a static model, and embed this model into a full dynamic model of network formation. We also determine the key bank, which is the bank that is crucial for the stability of the financial network.


Referens:
Cohen-Cole, Ethan, Eleonora Patacchini och Yves Zenou (2015), "Static and Dynamic Networks in Interbank Markets". Network Science 3(1), 98–123.

Aktuell forskare

Nikita Koptyug

Forskningsområden:  industriell organisation och spelteori.

Några av de frågor Nikita Koptyug försöker besvara med sin forskning:

  • Vilken information använder konsumenter när de fattar beslut om köp av produkter?
  • Kan tillförlitlig information minska asymmetriproblem mellan professionella och icke-professionella köpare?

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