Taming financial systemic risk: models, instruments and early warning indicators

Gabriele Tedeschi1, Fabio Caccioli2,3, Maria Cristina Recchioni4
1Department of Economics, Universitat Jaume I, Castellón, Spain
2Department of Computer Science, University College London, London, UK
3Systemic Risk Centre, London School of Economics and Political Sciences, London, UK
4Department of Economics and Social Sciences, Universitá Politecnica delle Marche, Ancona, Italy

Tài liệu tham khảo

Aikman D, Haldane AG, Nelson BD (2015) Curbing the credit cycle. Econ J 125(585):1072–1109 Alfarano S, Lux T, Wagner F (2005) Estimation of agent-based models: the case of an asymmetric herding model. Comput Econ 26(1):19–49 Alfarano S, Lux T, Wagner F (2006) Estimation of a simple agent-based model of financial markets: an application to australian stock and foreign exchange data. Physica A 370(1):38–42 Alfarano S, Camacho E, Tedeschi G (2019) Alternative approaches for the reformulation of economics. J Econ Interact Coord 14(1):1–6 Allen F, Gale D (2000) Bubbles and crises. Econ J 110(460):236–255 Aymanns C, Caccioli F, Farmer JD, Tan VWC (2016) Taming the Basel leverage cycle. J Financ Stabil 27:263–277 Bardoscia M, Battiston S, Caccioli F, Caldarelli G (2017) Pathways towards instability in financial networks. Nat Commun 8:14416 Bargigli L, Tedeschi G (2013) Major trends in agent-based economics. J Econ Interact Coord 8:211. https://doi.org/10.1007/s11403-012-0105-6 Bassetto M, Cagetti M, De Nardi M (2015) Credit crunches and credit allocation in a model of entrepreneurship. Rev Econ Dyn 18(1):53–76 Battiston S, Delli Gatti D, Gallegati M, Greenwald B, Stiglitz JE (2007) Credit chains and bankruptcy propagation in production networks. J Econ Dyn Control 31(6):2061–2084 Battiston S, Delli Gatti D, Gallegati M, Greenwald B, Stiglitz JE (2012a) Default cascades: when does risk diversification increase stability? J Financ Stab 8(3):138–149 Battiston S, Delli Gatti D, Gallegati M, Greenwald B, Stiglitz JE (2012b) Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk. J Econ Dyn Control 36(8):1121–1141 Berardi S, Tedeschi G (2017) From banks’ strategies to financial (in) stability. Int Rev Econ Finance 47:255–272 Bernanke B, Gertler M (1989) Agency costs, net worth, and business fluctuations. Am Econ Rev 79:14–31 Brunnermeier MK, Eisenbach TM, Sannikov Y (2012) Macroeconomics with financial frictions: a survey. Working paper 18102, National Bureau of Economic Research Brunnermeier M, Clerc L, Scheicher M (2013) Assessing contagion risks in the CDS market. Financ Stab Rev 17:123–134 Caccioli F, Shrestha M, Moore C, Farmer JD (2014) Stability analysis of financial contagion due to overlapping portfolios. J Bank Finance 46:233–245 Caccioli F, Farmer JD, Foti N, Rockmore D (2015) Overlapping portfolios, contagion, and financial stability. J Econ Dyn Control 51:50–63 Caccioli F, Catanach TA, Farmer JA (2011) Heterogeneity, correlations and financial contagion. Arxiv preprint arXiv:1109.1213 Christiano L, Ikeda D (2011) Government policy, credit markets and economic activity. NBER working papers 17142, National Bureau of Economic Research, Inc Ciola E (2019) Financial sector bargaining power, aggregate growth and systemic risk. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00270-5 Clemente GP, Grassi R, Pederzoli C (2019) Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00247-4 Colasante A, García-Gallego A, Georgantzis N, Morone A (2019) Voluntary contributions in a system with uncertain returns: a case of systemic risk. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00276-z De Masi G, Ricchiuti G (2019) From FDI network topology to macroeconomic instability. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00275-0 Delli Gatti D, Gallegati M, Greenwald B-C, Russo A, Stiglitz J-E (2012) Mobility constraints, productivity trends, and extended crises. J Econ Behav Organ 83(3):375–393 Fatone L, Mariani F (2019) An assets-liabilities dynamical model of banking system and systemic risk governance. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00277-y Ferri P, Minsky HP (1992) Market processes and thwarting systems. Struct Change Econ Dyn 3(1):79–91 Greenwald BC, Stiglitz JE (1993) Financial market imperfections and business cycles. Q J Econ 108(1):77–114 Grilli R, Tedeschi G, Gallegati M (2014) Bank interlinkages and macroeconomic stability. Int Rev Econ Finance 34:72–88 Grilli R, Iori G, Stamboglis N, Tedeschi G (2017) Chapter 10—a networked economy: a survey on the effect of interaction in credit markets. In: Gallegati M, Palestrini A, Russo A (eds) Introduction to agent-based economics, pp 229–252. Academic Press, Cambridge. ISBN 9780128038345 Iori G, Jafarey S, Padilla FG (2006) Systemic risk on the interbank market. J Econ Behav Organ 61(4):525–542 Kapar B, Iori G, Gabbi Germano G (2019) Market microstructure, banks’ behaviour and interbank spreads. Evidence after the Crisis. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00248-3 Kirman A (1991) Epidemics of opinion and speculative bubbles in financial markets. Money Financ Mark 3:54–368 Kirman A (1993) Ants, rationality, and recruitment. Q J Econ 108:137–156 Lenzu S, Tedeschi G (2012) Systemic risk on different interbank network topologies. Physica A 391(18):4331–4341 Lux T (2016) A model of the topology of the bank-firm credit network and its role as channel of contagion. J Econ Dyn Control 66(2016):36–53 Lux T, Montagna M (2017) Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information. Quant Finance 17(1):101–120 Mancino ME, Sanfelici S (2019) Identifying financial instability conditions using high frequency data. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00253-6 Mazzarisi P, Barucca P, Lillo F, Tantari D (2020) A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. Eur J Oper Res 281(1):50–65 Mazzocchetti A, Lauretta E, Raberto M, Teglio A, Cincotti S (2019) Systemic financial risk indicators and securitised assets: an agent-based framework. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00268-z Minsky HP (1964) Longer waves in financial relations: financial factors in the more severe depressions. Am Econ Rev 54(3):324–335 Rajan RG (1994) Why bank credit policies fluctuate: a theory and some evidence. Q J Econ 109(2):399–441 Recchioni MC, Tedeschi G (2017) From bond yield to macroeconomic instability: a parsimonious affine model. Eur J Oper Res 262(3):1116–1135 Recchioni MC, Tedeschi G, Gallegati M (2015) A calibration procedure for analyzing stock price dynamics in an agent-based framework. J Econ Dyn Control 60:1–25 Sakurai Y, Kurosaki T (2019) A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00260-7 Tedeschi G, Mazloumian A, Gallegati M, Helbing D (2012) Bankruptcy cascades in interbank markets. PLoS ONE 7(12):e52749 Tedeschi G, Recchioni MC, Berardi S (2019) An approach to identifying micro behavior: how banks’ strategies influence financial cycles. J Econ Behav Organ 162:329–346 Vidal-Tomás D, Alfarano S (2019) An agent-based early warning indicator for financial market instability. J Econ Interact Coord. https://doi.org/10.1007/s11403-019-00272-3