文献类型：期刊文献

英文题名：Hierarchical contagions in the interdependent financial network

作者：Barnett, William A.[1,2];Wang, Xue[3,4];Xu, Hai-Chuan[5];Zhou, Wei-Xing[5]

机构：[1]Univ Kansas, Dept Econ, Lawrence, KS 66045 USA;[2]Ctr Financial Stabil, New York, NY USA;[3]Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Peoples R China;[4]Emory Univ, Dept Econ, Atlanta, GA 30322 USA;[5]East China Univ Sci & Technol, Dept Finance & Res Ctr Econophys, Shanghai, Peoples R China

年份：2022

卷号：61

外文期刊名：JOURNAL OF FINANCIAL STABILITY

收录：;WOS:【SSCI(收录号:WOS:000836482200004)】；

基金：We are grateful to the editor Iftekhar Hasan and two anonymous referees for their constructive comments and helpful suggestions. This work was supported by the National Natural Science Foundation of China [grant numbers: 71971081 and U1811462].

语种：英文

外文关键词：Systemic risk; Financial network; Interdependent network; Contagions; Stress test

摘要：We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency network composed of 48 banks and 21 asset classes. For the robustness, we employ three methods, called Anan, Hala and Maxe, to reconstruct the asset/liability cross-holding network. Then we combine the external portfolio holdings of each bank to compute the interdependency matrix. The interdependency network is much denser than the direct cross-holding network, showing the complex latent interaction among banks. Finally, we perform macroprudential stress tests for the European banking system, using the adverse scenario in EBA stress test as the initial shock. For different reconstructed networks, we illustrate the hierarchical cascades and show that the failure hierarchies are roughly the same except for a few banks, reflecting the overlapping portfolio holding accounts for the majority of defaults. We also calculate systemic vulnerability and individual vulnerability, which provide important information for supervision and relevant management actions.