英文标题：
《How the interbank market becomes systemically dangerous: an agent-based
  network model of financial distress propagation》
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作者：
Matteo Serri, Guido Caldarelli, Giulio Cimini
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最新提交年份：
2016
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英文摘要：
  Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the interbank lending market as an important diffusion channel for financial distress during the recent crisis. In this work we study the stability of the interbank market to exogenous shocks using an agent-based network framework. Our model encompasses several ingredients that have been recognized in the literature as pro-cyclical triggers of financial distress in the banking system: credit and liquidity shocks through bilateral exposures, liquidity hoarding due to counterparty creditworthiness deterioration, target leveraging policies and fire-sales spillovers. But we exclude the possibility of central authorities intervention. We implement this framework on a dataset of 183 European banks that were publicly traded between 2004 and 2013. We document the extreme fragility of the interbank lending market up to 2008, when a systemic crisis leads to total depletion of market equity with an increasing speed of market collapse. After the crisis instead the system is more resilient to systemic events in terms of residual market equity. However, the speed at which the crisis breaks out reaches a new maximum in 2011, and never goes back to values observed before 2007. Our analysis points to the key role of the crisis outbreak speed, which sets the maximum delay for central authorities intervention to be effective.
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中文摘要：
评估经济系统的稳定性是经济学的一个基本研究重点，在当前困难的经济形势下，这一点变得越来越跨学科。特别是，银行间贷款市场作为近期危机期间金融危机的重要传播渠道，受到了广泛关注。在这项工作中，我们使用基于代理的网络框架研究了银行间市场对外部冲击的稳定性。我们的模型包括文献中公认为银行系统财务困境顺周期触发因素的几个因素：双边风险敞口造成的信贷和流动性冲击、交易对手信誉恶化导致的流动性囤积、目标杠杆政策和甩卖溢出。但我们排除了中央政府干预的可能性。我们在2004年至2013年间公开交易的183家欧洲银行的数据集上实施了该框架。我们记录了截至2008年银行间借贷市场的极端脆弱性，当时系统性危机导致市场权益完全耗尽，市场崩溃速度加快。相反，在危机之后，就剩余市场股本而言，该体系对系统性事件更有弹性。然而，危机爆发的速度在2011年达到了一个新的最高点，而且从未回到2007年之前的水平。我们的分析指出了危机爆发速度的关键作用，这为中央政府干预的有效性设定了最大延迟。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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