dc.contributor.author |
Gai, Prasanna |
en |
dc.contributor.author |
Haldane, A |
en |
dc.contributor.author |
Kapadia, S |
en |
dc.date.accessioned |
2012-03-11T23:09:25Z |
en |
dc.date.issued |
2011 |
en |
dc.identifier.citation |
Journal of Monetary Economics 58(5):453-470 2011 |
en |
dc.identifier.issn |
0304-3932 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/13757 |
en |
dc.description.abstract |
This paper develops a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage. We show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007–2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages. Our model illustrates how greater complexity and concentration in the financial network may amplify this fragility. The analysis suggests how a range of policy measures – including tougher liquidity regulation, macro-prudential policy, and surcharges for systemically important financial institutions – could make the financial system more resilient. |
en |
dc.publisher |
Elsevier Inc |
en |
dc.relation.ispartofseries |
Journal of Monetary Economics |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0304-3932/ |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Complexity, concentration and contagion |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1016/j.jmoneco.2011.05.005 |
en |
pubs.issue |
5 |
en |
pubs.begin-page |
453 |
en |
pubs.volume |
58 |
en |
dc.rights.holder |
Copyright: Bank of England |
en |
pubs.end-page |
470 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
235169 |
en |
pubs.org-id |
Business and Economics |
en |
pubs.org-id |
Economics |
en |
pubs.record-created-at-source-date |
2012-02-16 |
en |