A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades

Teruyoshi Kobayashi

Economics Letters, 2014, vol. 124, issue 1, 113-116

Abstract: I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency of financial contagion without using information about individual balance sheets.

Keywords: Financial network; Cascades; Financial contagion; Systemic risk (search for similar items in EconPapers)
JEL-codes: G01 G18 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514001700
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades (2014)
Working Paper: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades (2013)
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:eee:ecolet:v:124:y:2014:i:1:p:113-116

DOI: 10.1016/j.econlet.2014.05.003

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().