Contagion and risk-sharing on the inter-bank market

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2013
Volume: 37
Issue: 7
Pages: 1384-1400

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Increasing inter-bank lending has an ambiguous impact on financial stability. Using a computational model with endogenous bank behavior and interest rates we identify the conditions under which inter-bank lending promotes stability through risk sharing or provides a channel through which failures may spread. In response to large economy-wide shocks, more inter-bank lending relationships worsen systemic events. For smaller shocks the opposite effect is observed. As such no inter-bank market structure maximizes stability under all conditions. In contrast, deposit insurance costs are always reduced under greater numbers of inter-bank lending relationships. A range of regulations are considered to increase system stability.

Technical Details

RePEc Handle
repec:eee:dyncon:v:37:y:2013:i:7:p:1384-1400
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25