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Market frictions, interbank linkages and excessive interconnections

Author: Pragyan Deb; International Monetary Fund,; International Monetary Fund. European Department,
Publisher: [Washington, D.C.] : International Monetary Fund, [2016] ©2016
Series: IMF working paper, WP/16/180.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
This paper studies banks' decision to form financial interconnections using a model of financial contagion that explicitly takes into account the crisis state of the world. This allows us to model the network formation decision as optimising behaviour of competitive banks, where they balance the benefits of forming interbank linkages against the cost of contagion. We use this framework to study various market  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Pragyan Deb; International Monetary Fund,; International Monetary Fund. European Department,
ISBN: 9781475530292 1475530293 9781475530339 1475530331
OCLC Number: 959033152
Notes: "August 2016."
At head of title: International Monetary Fund, European Department.
Description: 1 online resource (41 pages) : illustrations.
Contents: Cover; Contents; I. Introduction; II. Model Setup; III. Model Solution-Social Optimality; IV. Market Frictions-Private Optimality; V. Conclusion; References; Appendix; A. Proofs; A.1. Proposition 1; A.2. Corollary 1; A.3. Proposition 4; A.4. Corollary 2; A.5. Proposition 7; A.6. Proposition 8; A.7. Proposition 13; A.8. Proposition 14; Figures; 1. Liquidity States; 2. Asset Cash Flows; 3. Expected Gain from Participating in the Interbank Market; 4. Expected Depositor Pay-off.
Series Title: IMF working paper, WP/16/180.
Responsibility: prepared by Pragyan Deb.

Abstract:

This paper studies banks' decision to form financial interconnections using a model of financial contagion that explicitly takes into account the crisis state of the world. This allows us to model the network formation decision as optimising behaviour of competitive banks, where they balance the benefits of forming interbank linkages against the cost of contagion. We use this framework to study various market frictions that can result in excessive interconnectedness that was seen during the crisis. In this paper, we focus on two channels that arise from regulatory intervention--deposit insurance and the too big to fail problem.

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