Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/52134 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorGeorg, Co-Pierreen
dc.date.accessioned2011-11-23T15:46:39Z-
dc.date.available2011-11-23T15:46:39Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-749-7en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2011,12en
dc.subject.jelC63en
dc.subject.jelE52en
dc.subject.jelG01en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordsystemic risken
dc.subject.keywordcontagionen
dc.subject.keywordcommon shocksen
dc.subject.keywordmulti-agent simulationsen
dc.titleThe effect of the interbank network structure on contagion and common shocks-
dc.typeWorking Paperen
dc.identifier.ppn671536869en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201112en

Files in This Item:
File
Size
341.68 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.