Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/173763 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
NBB Working Paper No. 307
Verlag: 
National Bank of Belgium, Brussels
Zusammenfassung: 
We develop a DSGE model incorporating a banking sector comprising 4 banks connected in a stylised network representing their interbank exposures. The micro-founded framework allows inter alia for endogenous bank defaults and bank capital requirements. In addition, we introduce a central bank who intervenes directly in the interbank market through liquidity injections. Model dynamics are driven by standard productivity as well as banking sector shocks. In our simulations, we incorporate four different interbank network structures: Complete, cyclical and two variations of the core-periphery topology. Comparison of interbank market dynamics under the different topologies reveals a strong stabilising role played by the complete network while the remaining structures show a non-negligible shock propagation mechanism. Finally, we show that central bank interventions can counteract negative banking shocks with the effect depending again on the network structure.
Schlagwörter: 
Interbank network
DSGE model
banking
liquidity injections
JEL: 
D85
E32
E44
E52
G21
Dokumentart: 
Working Paper

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