Modelling Interconnections in the Global Financial System in the Light of Systemic Risk
Tomáš Klinger () and
Petr Teply ()
Additional contact information
Tomáš Klinger: Charles University in Prague/Institute of Economic Studies
Petr Teply: University of Economics in Prague/Faculty of Finance and Accounting
ACTA VSFS, 2014, vol. 8, issue 1, 64-88
In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based modelling of banking networks’ systemic stability by adding the sovereign sector and the mechanisms of risk transfer between the banks and the sovereigns when state aid is initiated. The model implements two types of state support to banks, bailouts and asset relief. We show that these two have different effect on systemic stability, but both mitigate the systemic crisis in the short run. How the state aid measures are efficient in the long run depends on the model’s parameterization.
Keywords: agent-based models; bailout; contagion; financial crises; financial stability; liquidity risk; network models; systemic risk (search for similar items in EconPapers)
JEL-codes: C63 D85 G01 G21 G28 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:prf:journl:v:8:y:2014:i:1:p:64-88
Access Statistics for this article
More articles in ACTA VSFS from University of Finance and Administration Contact information at EDIRC.
Series data maintained by Helena Hakenova ().