Markets connectivity and financial contagion

Ruggero Grilli, Gabriele Tedeschi and Mauro Gallegati

Journal of Economic Interaction and Coordination, 2015, vol. 10, issue 2, 287-304

Abstract: In this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows us to explain some key events that occurred during the recent economic and financial crisis. In particular, we study the repercussions of inter-bank connectivity on banks’ performances, bankruptcy waves and business cycle fluctuations. Interbank linkages, in fact, not only allow participants to share risk but also create potential for one bank’s crisis to spread through the network. The purpose of the model is, therefore, to build up the dependence among agents at the micro-level and to estimate their impact on the macro stability. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Systemic risk; Business cycle; Volatility; Network connectivity; Giant component (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11403-014-0129-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Markets connectivity and financial contagion (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jeicoo:v:10:y:2015:i:2:p:287-304

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/11403/PS2

DOI: 10.1007/s11403-014-0129-1

Access Statistics for this article

Journal of Economic Interaction and Coordination is currently edited by A. Namatame, Thomas Lux and Shu-Heng Chen

More articles in Journal of Economic Interaction and Coordination from Springer, Society for Economic Science with Heterogeneous Interacting Agents Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().