The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Complexity, concentration and contagion
Open accessAbstract
This paper develops a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage. We show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007–2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages. Our model illustrates how greater complexity and concentration in the financial network may amplify this fragility. The analysis suggests how a range of policy measures – including tougher liquidity regulation, macro-prudential policy, and surcharges for systemically important financial institutions – could make the financial system more resilient.
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Cites
Credit Rationing in Markets with Imperfect Information
Stiglitz, J. E., & Weiss, A. (1981) · Columbia University · doi:10.7916/d8v12ft1 · Cited by 12,769
Error and attack tolerance of complex networks
Albert, R., Jeong, H., & Barabási, A.-L. (2000) · Nature · doi:10.1038/35019019 · Cited by 7,534
Systemic risk in banking ecosystems
Haldane, A. G., & May, R. M. (2011) · Nature · doi:10.1038/nature09659 · Cited by 1,480
Self-citationMay, R. M., Levin, S. A., & Sugihara, G. (2008) · Nature · doi:10.1038/451893a · Cited by 797
Cited by
How likely is contagion in financial networks?
Glasserman, P., & Young, H. P. (2015) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2014.02.006 · Cited by 631
The Economic Consequences of Social-Network Structure
Jackson, M. O., Rogers, B. W., & Zenou, Y. (2017) · Journal of Economic Literature · doi:10.1257/jel.20150694 · Cited by 441
A network analysis of global banking: 1978–2010
Minoiu, C., & Reyes, J. A. (2013) · Journal of Financial Stability · doi:10.1016/j.jfs.2013.03.001 · Cited by 312
The physics of financial networks
Bardoscia, M., Barucca, P., Battiston, S., Caccioli, F., Cimini, G., Garlaschelli, D., Saracco, F., Squartini, T., & Caldarelli, G. (2021) · Nature Reviews Physics · doi:10.1038/s42254-021-00322-5 · Cited by 281
Collective Moral Hazard and the Interbank Market
Altinoglu, L., & Stiglitz, J. E. (2023) · American Economic Journal: Macroeconomics · doi:10.1257/mac.20210333 · Cited by 16
Metadata
- Authors
- Gai, P., Haldane, A., & Kapadia, S.
- Venue
- Journal of Monetary Economics
- Publisher
- Elsevier BV
- Published
- 2011-07
- Volume
- 58
- Issue
- 5
- Pages
- 453-470
- ISSN
- 0304-3932 (ISSN-L)
- OpenAlex
- W2128391133
- Cited by
- 821
- References
- 4
- FWCI
- 91.97
- Type
- journal article
- Language
- en
- Open access
- green
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- Gai, P., Haldane, A., & Kapadia, S. (2011). Complexity, concentration and contagion. Journal of Monetary Economics. https://doi.org/10.1016/j.jmoneco.2011.05.005
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
