Arbeitspapier
Interbank credit exposures and financial stability
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing. In contrast to previous studies I find that reducing interbank connectivity may destabilize the financial system via the bank-run channel. This is because it decreases the risk-sharing benefits of interbank connectivity. A bank-run model features two islands that are connected via a long term debt claim. Varying the size of this claim (interbank connectivity), I study how the decision to 'run on the bank' is affected. I run a simulation of the model, calibrated to the U.S. banking system between 1997-2007. I find that large bankruptcy costs are required to trump the risk-sharing benefits of interbank credit exposures.
- ISBN
-
978-92-9472-258-4
- Sprache
-
Englisch
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 136
- Klassifikation
-
Wirtschaft
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
financial stability
bank runs
credit risk
derivatives
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schneorson, Oren
- Ereignis
-
Veröffentlichung
- (wer)
-
European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- DOI
-
doi:10.2849/48405
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Schneorson, Oren
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2022
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