Results 1 to 10 of about 115,140 (331)
A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades [PDF]
Economics Letters 124, 113-116, 2014, 2013 I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency of financial contagion without ...
Kobayashi, Teruyoshi
arxiv +5 more sources
Financial Institutions, Financial Contagion, and Financial Crises [PDF]
IMF Working Papers, 2000 Financial crises are endogenized through corporate and interbank market institutions. Single-bank financing leads to a pooling equilibrium in the interbank market. With private information about one’s own solvency, the best illiquid banks will not borrow but rather will liquidate some premature assets.
Haizhou Huang, Chenggang Xu
+11 more sources
The Unholy Trinity of Financial Contagion [PDF]
Journal of Economic Perspectives, 2003 Over the last 20 years, some financial events, such as devaluations or defaults, have triggered an immediate adverse chain reaction in other countries -- which we call fast and furious contagion. Yet, on other occasions, similar events have failed to trigger any immediate international reaction.
Graciela Kaminsky +2 more
openalex +5 more sources
Resilience to Contagion in Financial Networks [PDF]
Mathematical Finance, 2011 Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic fraction of defaults, in terms of ...
Amini, H, Cont, R, Minca, A
arxiv +11 more sources
Journal of Political Economy, 2000 contagion; bank runs; banking; financial ...
Allen, Franklin, Gale, Douglas
core +3 more sources
financial market contagion [PDF]
, 2008 The power of the metaphor of contagion—that beliefs, actions, and strategies spread among economic agents like pathogens among biological organisms— causes it to recur in disparate areas of economics. This article focusses on four applications of contagion to economics: social influence or memoryless learning; Bayesian social learning; strategy choice ...
Morgan Kelly
openalex +6 more sources
Heterogeneity, correlations and financial contagion [PDF]
arXiv, 2011 We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks.
Thomas A. Catanach +3 more
arxiv +6 more sources
Stability analysis of financial contagion due to overlapping portfolios [PDF]
arXiv, 2012 Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process.
Caccioli, Fabio +3 more
arxiv +3 more sources
Managerial Incentives and Financial Contagion [PDF]
IMF Working Papers, 2004 This paper proposes a framework to examine the comovements of asset prices with seemingly unrelated fundamentals, as an outcome of the optimal portfolio strategies of large institutional fund managers. In emerging markets, the dominant presence of dedicated fund managers whose compensation is linked to the outperformance of their portfolio relative to ...
Sujit Chakravorti, Subir Lall
openalex +8 more sources
Information acquisition and financial contagion. [PDF]
Journal of Banking & Finance, 2008 This paper incorporates costly voluntary acquisition of information à la Nikitin and Smith (2007) [Nikitin, M., Smith, R.T., 2007. Information acquisition, coordination, and fundamentals in a financial crisis.
Allen +13 more
core +7 more sources