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] Department of Economics, University of Kansas, Lawrence, United States; [2] Center for Financial Stability, New York, United States; [3] Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China; [4] Department of Economics, Emory University, Atlanta, United States; [5] Department of Finance, Research Center for Econophysics, East China University of Science and Technology, Shanghai, China

年份：2021

外文期刊名：arXiv

收录：EI(收录号：20210164222)

语种：英文

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. ? 2021, CC BY-NC-ND.