A MULTILAYER VIEW OF SYSTEMIC IMPORTANCE AND AGGREGATE FLUCTUATIONS

• 成果类型: Article
• 署名作者: Tzavellas, Hector
• 署名单位: Virginia Polytechnic Institute & State University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12622
• 发表日期: 2023
• 页码: 1023-1046
• 关键词: NETWORKS; RISK; origins

摘要

Economic systems are composed of multiple interrelated groups of agents and with multiple sources of network externalities present. This can give rise to novel systemic risks. We propose a multilayer model to understand this phenomenon. The model features complementary or substitutionary actions of agents active in multiple groups and extends the network concepts of systemic importance and microinduced aggregate fluctuations to their multigroup counterparts. The multilayer allows for the propagation of shocks through both intra- and interlayer margins. The interlayer margin can be large enough to induce a reordering of systemic importance indicators as compared to singular group considerations, and produce volatility levels that are larger than economies consisting of a single group of agents.