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  <title>EconStor Community: Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance, Kiel University et al.</title>
  <link rel="alternate" href="https://hdl.handle.net/10419/102262" />
  <subtitle>Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance, Kiel University et al.</subtitle>
  <id>https://hdl.handle.net/10419/102262</id>
  <updated>2026-04-22T17:59:04Z</updated>
  <dc:date>2026-04-22T17:59:04Z</dc:date>
  <entry>
    <title>Network effects and systemic risk in the banking sector</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/130157" />
    <author>
      <name>Lux, Thomas</name>
    </author>
    <id>https://hdl.handle.net/10419/130157</id>
    <updated>2023-11-10T02:04:39Z</updated>
    <published>2016-01-01T00:00:00Z</published>
    <summary type="text">Title: Network effects and systemic risk in the banking sector
Authors: Lux, Thomas
Abstract: This paper provides a review of recent research on the structure of interbank relations and theoretical models developed to assess the contagious potential of shocks (default of single units) via the interbank network. The empirical literature has established a set of stylized facts that includes a fat-tailed distribution of the number of banks, disassortativity of credit links and a pronounced persistence of existing links over time. These topological features correspond to the existence of money center banks, the importance of relationship banking and the self-organization of the interbank market into a core-periphery structure. Models designed to replicate these topological features exhibit on average more contagious potential than baseline models for the generation of random networks (such as the Erdös-Renyi or preferential attachment mechanisms) that do not share the stylized facts. Combining different channels of contagion such as interbank exposures, portfolio overlaps and common exposure to non-financial borrowers, one typically finds that different contagion channels interact in a distinctly nonlinear way.</summary>
    <dc:date>2016-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Financial crisis, speculative bubbles and the functioning of financial markets</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/148061" />
    <author>
      <name>Horvarth, Roman</name>
    </author>
    <id>https://hdl.handle.net/10419/148061</id>
    <updated>2023-11-19T02:08:46Z</updated>
    <published>2016-01-01T00:00:00Z</published>
    <summary type="text">Title: Financial crisis, speculative bubbles and the functioning of financial markets
Authors: Horvarth, Roman
Abstract: [Introduction] The recent global financial crisis has showed us how extremely costly financial crises are in terms of economic activity and overall welfare of citizens. It affected strongly the stability of selected European financial institutions as well as the debt management of various governments in Europe. The European Union has undertaken a vast series of steps to safeguard financial stability in Europe, both in the way how financial market supervision is institutionally structured and also in the way how financial market supervision is implemented. Macroprudential policies, which focus on promoting stability of financial system as a whole, has become to forefront. The financial crisis also materialized strongly in macroeconomic stability. The European Central Bank needed to implement large-scale non-standard monetary policy measures to support the euro area economic activity, to improve the functioning of monetary policy transmission mechanism and to reduce deflationary risks. Despite all the steps undertaken in safeguarding financial stability coupled with accommodative monetary policy, we still cannot say that the global financial crisis or its effects are over. Having the enormously negative effects of financial crises in mind, several attendant - both general and specific - questions for academia as well as for policy makers arise. [...]</summary>
    <dc:date>2016-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/129076" />
    <author>
      <name>Yanovski, Boyan</name>
    </author>
    <id>https://hdl.handle.net/10419/129076</id>
    <updated>2023-11-17T02:08:34Z</updated>
    <published>2016-01-01T00:00:00Z</published>
    <summary type="text">Title: A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles
Authors: Yanovski, Boyan
Abstract: During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure in the real sector gives rise to a strong non-linearity and is responsible for the emergence of endogenous business cycles in the model. In the context of this model, we find that a timid or ineffective monetary policy allows the stock market to be dominated by the fluctuations of profits in the real sector. We model the potential ineffectiveness of monetary policy in terms of an endogenous risk premium. The model is calibrated to fit key properties of the data. In particular, it can generate a pro-cyclical stock market in the presence of a counter-cyclical monetary policy.</summary>
    <dc:date>2016-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Herding, minority game, market clearing and efficient markets in a simple spin model framework</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/162829" />
    <author>
      <name>Kristoufek, Ladislav</name>
    </author>
    <author>
      <name>Vošvrda, Miloslav S.</name>
    </author>
    <id>https://hdl.handle.net/10419/162829</id>
    <updated>2023-11-26T02:32:36Z</updated>
    <published>2016-01-01T00:00:00Z</published>
    <summary type="text">Title: Herding, minority game, market clearing and efficient markets in a simple spin model framework
Authors: Kristoufek, Ladislav; Vošvrda, Miloslav S.
Abstract: We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized fact such as fat tails, volatility clustering and persistence, and others. We tackle the model utility from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. We show that in fact market frictions (to a certain level) and herding behavior of the market participants do not go against market efficiency but what is more, they are needed for the markets to be efficient.</summary>
    <dc:date>2016-01-01T00:00:00Z</dc:date>
  </entry>
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