Réseau interbancaire et crise de liquidité

Sébastien Vivier-Lirimont

Revue d'économie politique, 2006, vol. 116, issue 4, 487-500

Abstract: In a Diamond and Dybvig [1983] frame where liquidity shocks are unknown, banks embbed into a network of partners in which to embed so as to decentralize Pareto optimal allocation. Doing so, they increase investment in long term assets, and welfare. The resulting network structure tackles the issue of the unknown liquidity shock distribution and drives to rate of interest to the risk free level. However, because of competition for funds, the chosen architecture is not complete and does not maximizes available liquidity. Because of the network of interbank relations, a small isolated liquidity shock may turn into a major systemic banking crisis.

Keywords: network; bank; contagion; financial fragilities (search for similar items in EconPapers)
Date: 2006
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