Network risk and key players: A structural analysis of interbank liquidity

• 成果类型: Article
• 署名作者: Denbee, Edward; Julliard, Christian; Li, Ye; Yuan, Kathy
• 署名单位: Bank of England; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.010
• 发表日期: 2021
• 页码: 831-859
• 关键词: Financial networks; liquidity; interbank market; Payment systems; Payment velocity; Payment multiplier; Key players; Systemic risk; spatial models

摘要

Using a structural model, we estimate the liquidity multiplier of an interbank network and banks' contributions to systemic risk. To provide payment services, banks hold reserves. Their equilibrium holdings can be strategic complements or substitutes. The former arises when payment velocity and multiplier are high. The latter prevails when the opportunity cost of liquidity is large, incentivising banks to borrow neighbors' reserves instead of holding their own. Consequently, the network can amplify or dampen shocks to individual banks. Empirically, network topology explains cross-sectional heterogeneity in banks' systemic-risk contributions while changes in the equilibrium type drive time-series variation. (c) 2021 Elsevier B.V. All rights reserved.