Arbeitspapier
Information contagion and systemic risk
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable information about another bank, triggering information contagion. When banks are subject to common exposures, information contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to counterparty risk, by contrast, information contagion induces a large shift toward more prudential portfolios, thereby reducing systemic risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2017-29
- Klassifikation
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Financial institutions
Financial stability
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ahnert, Toni
Georg, Co-Pierre
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2017
- DOI
-
doi:10.34989/swp-2017-29
- Handle
- Letzte Aktualisierung
-
19.03.2005, 09:49 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ahnert, Toni
- Georg, Co-Pierre
- Bank of Canada
Entstanden
- 2017
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