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http://hdl.handle.net/10419/52134
  

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dc.contributor.authorGeorg, Co-Pierreen_US
dc.date.accessioned2011-11-23T15:46:39Z-
dc.date.available2011-11-23T15:46:39Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-749-7en_US
dc.identifier.urihttp://hdl.handle.net/10419/52134-
dc.description.abstractThis paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms of systemic risk require different optimal policy responses.en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,12en_US
dc.subject.jelC63en_US
dc.subject.jelE52en_US
dc.subject.jelG01en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordsystemic risken_US
dc.subject.keywordcontagionen_US
dc.subject.keywordcommon shocksen_US
dc.subject.keywordmulti-agent simulationsen_US
dc.titleThe effect of the interbank network structure on contagion and common shocksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn671536869en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201112-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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