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  <title>EconStor Collection:</title>
  <link rel="alternate" href="https://hdl.handle.net/10419/102263" />
  <subtitle />
  <id>https://hdl.handle.net/10419/102263</id>
  <updated>2026-04-29T12:23:01Z</updated>
  <dc:date>2026-04-29T12:23:01Z</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>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>
  <entry>
    <title>International housing markets, unconventional monetary policy and the zero lower bound</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/129077" />
    <author>
      <name>Huber, Florian</name>
    </author>
    <author>
      <name>Punzi, Maria Teresa</name>
    </author>
    <id>https://hdl.handle.net/10419/129077</id>
    <updated>2023-12-31T03:00:00Z</updated>
    <published>2016-01-01T00:00:00Z</published>
    <summary type="text">Title: International housing markets, unconventional monetary policy and the zero lower bound
Authors: Huber, Florian; Punzi, Maria Teresa
Abstract: In this paper we propose a time-varying parameter VAR model for the housing market in the United States, the United Kingdom, Japan and the Euro Area. For these four economies, we answer the following research questions: (i) How can we evaluate the stance of monetary policy when the policy rate hits the zero lower bound? (ii) Can developments in the housing market still be explained by policy measures adopted by central banks? (iii) Did central banks succeed in mitigating the detrimental impact of the financial crisis on selected housing variables? We analyze the relationship between unconventional monetary policy and the housing markets by using the shadow interest rate estimated by Krippner (2013b). Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance, and central banks can affect the composition of an investor's portfolio through investment in housing. A counterfactual exercise provides some evidence that unconventional monetary policy has been particularly successful in dampening the consequences of the financial crisis on housing markets in the United States, while the effects are more muted in the other countries considered in this study.</summary>
    <dc:date>2016-01-01T00:00:00Z</dc:date>
  </entry>
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