财新传媒

金融网络中的系统性风险:一份综述

来源于 《比较》 2022年第2期 出版日期 2022年04月01日
文|马修·杰克逊 阿加特·佩尔努

  参考文献

  Acemoglu D,Carvalho VM,Ozdaglar A,Tahbaz-Salehi A.2012.The network origins of aggregate fluctuations.Econometrica 80:1977-2016.

  Acemoglu D,Ozdaglar A,Siderius J,Tahbaz-Salehi A.2020.Systemic credit freezes in financial lending networks.NBERWork.Pap.27149.

  Acemoglu D,Ozdaglar A,Tahbaz-Salehi A.2015a.Systemic risk and stability in financial networks.Am.Econ.Rev. 105:564-608.

  Acemoglu D,Ozdaglar A,Tahbaz-Salehi A.2015b.Systemic risk in endogenous financial networks.Work.Pap.,Mass.Inst.Technol.,Cambridge.

  Acharya VV,Bharath ST,Srinivasan A.2007.Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries.J.Financ.Econ.85:787-821.

  Acharya VV,Yorulmazer T.2007.Toomany to fail—an analysis of time-inconsistency in bank closure policies.J.Financ.Intermed.16:1-31.

  Acharya VV,Yorulmazer T.2008.Information contagion and bank herding.J.Money Credit Bank.40:215-31.

  Admati AR,Hellwig MF.2013.The Bankers’New Clothes: What’s Wrong with Banking and What to Do About It.Princeton,NJ: Princeton Univ.Press.

  Aikman D,Alessandri P,Eklund B,Gai P,Kapadia S,et al.2009.Funding liquidity risk in a quantitative model of systemic stability.In Financial Stability,Monetary Policy,and Central Banking,Vol.15,ed.R Alfaro,pp.371-410.Santiago: Cent.Bank Chile.

  Aikman D,Bridges J,Kashyap A,Siegert C.2019.Would macroprudential regulation have prevented the last crisis? J.Econ.Perspect.33:107-30.

  Allen F,Babus A,Carletti E.2012.Asset commonality,debt maturity and systemic risk.J.Financ.Econ. 104:519-34.

  Allen F,Gale DM.2000.Financial contagion.J.Political Econ.108:1-33.

  Allen F,Gale DM.2007.An introduction to financial crises.Work.Pap.,Wharton Financ.Inst.Cent.,Univ.Pa.,Philadelphia.

  Allen F,Morris S,Shin HS.2006.Beauty contests and iterated expectations in asset markets. Rev.Financ.Stud.19:719-52.

  Allouch N,Jalloul M.2018.Strategic default in financial networks.Work.Pap.852,Queen Mary Univ.London,London.

  Alvarez F,Barlevy G.2015.Mandatory disclosure and financial contagion.NBERWork.Pap.21328.

  Amini H,Cont R,Minca A.2016.Resilience to contagion in financial networks. Math.Finance 26:329-65.

  Anderson H,Erol S,Ordoez G.2020.Interbank networks in the shadows of the Federal Reserve Act.Work.Pap.2020-07,Fed.Depos.Insur.Corp.Cent.Financ.Res.,Washington,DC.

  Anderson H,Paddrik M,Wang JJ.2019.Bank networks and systemic risk: evidence from the National BankingActs.Am.Econ.Rev.109:3125-61.

  Atkisson C,Górski PJ,Jackson MO,Ho-yst JA,D’Souza RM.2020.Why understanding multiplex social network structuring processes will help us better understand the evolution of human behavior.Evol.Anthropol.29:102-7.

  Babus A.2016.The formation of financial networks.RAND J.Econ.47:239-72.

  Babus A,HuTW.2017.Endogenous intermediation in over-the-counter markets.J.Financ.Econ.125:200-15.

  Banerjee AV.1992.A simple model of herd behavior.Q.J.Econ.107:797-817.

  Bardoscia M,Battiston S,Caccioli F,Caldarelli G.2017.Pathways towards instability in financial networks.Nat.Commun. 8:14416.

  Bardoscia M,Bianconi G,Ferrara G.2018.Multiplex network analysis of the UK OTC derivatives market.Staff Work.Pap.726,Bank Engl.,London.

  Barrot JN,Sauvagnat J.2016.Input specificity and the propagation of idiosyncratic shocks in production networks.Q.J.Econ. 131:1543-92.

  Basel Comm.Bank.Superv.2015.Making supervisory stress tests more macroprudential: considering liquidity and solvency interactions and systemic risk.Work.Pap.29,Basel Comm.Bank.Superv.,Basel,Switz.

  Battiston S,Gatti DD,Gallegati M,Greenwald B,Stiglitz JE.2012.Liaisons dangereuses: increasing connectivity,risk sharing,and systemic risk. J.Econ.Dyn.Control 36:1121-41.

  Bebchuk LA,Goldstein I.2011.Self-fulfilling credit market freezes. Rev.Financ.Stud.24:3519-55.

  Bech ML,Atalay E.2010.The topology of the federal funds market.Phys.Stat.Mech.Appl. 389:5223-46.

  Belhaj M,Bourlès R,Deroan F.2020.Prudential regulation in financial networks.Work.Pap.30,Aix-Marseille Sch.Econ.,Marseille,Fr.

  Bernard B,Capponi A,Stiglitz JE.2017.Bail-ins and bail-outs: incentives,connectivity,and systemic stability.NBER Work.Pap.23747.

  Bikhchandani S,Hirshleifer D,Welch I.1992.A theory of fads,fashion,custom,and cultural change as informational cascades.J.Political Econ.100:992-1026.

  Billio M,Getmansky M,Lo AW,Pelizzon L.2012.Econometric measures of connectedness and systemic risk in the finance and insurance sectors.J.Financ.Econ.104:535-59.

  Blasques F,Br-uning F,Van Lelyveld I.2018.A dynamic network model of the unsecured interbank lending market.J.Econ.Dyn.Control 90:310-42.

  Branch B.2002.The costs of bankruptcy: a review.Int.Rev.Financ.Anal.11:39-57.

  Bruche M,Gonzalez-Aguado C.2010.Recovery rates,default probabilities,and the credit cycle.J.Bank.Finance 34:754-64.

  Brunnermeier MK.2009.Deciphering the liquidity and credit crunch 2007-2008. J.Econ.Perspect. 23:77-100.

  Brusco S,Castiglionesi F.2007.Liquidity coinsurance,moral hazard,and financial contagion.J.Finance 62:2275-302.

  Brusco S,Jackson MO.1999.The optimal design of a market.J.Econ.Theory 88:1-39.

  Burkholz R,Leduc MV,Garas A,Schweitzer F.2016.Systemic risk in multiplex networks with asymmetric coupling and threshold feedback.Phys.D 323:64-72.

  Caballero RJ,Simsek A.2013.Fire sales in a model of complexity. J.Finance 68:2549-87.

  Cabrales A,Gottardi P,Vega-Redondo F.2017.Risk sharing and contagion in networks.Rev.Financ.Stud.30: 3086-127.

  Callaway DS,Newman ME,Strogatz SH,Watts DJ.2000.Network robustness and fragility: percolation on random graphs.Phys.Rev.Lett. 85:5468.

  Calomiris CW,JaremskiM.2019.Stealing deposits: deposit insurance,risk-taking,and the removal of market discipline in early 20th-century banks.J.Finance 74:711-54.

  Capponi A,Chen PC.2015.Systemic risk mitigation in financial networks.J.Econ.Dyn.Control 58:152-66.

  Capponi A,Cheng WA.2018.Clearinghouse margin requirements.Oper.Res.66:1542-58.

  Capponi A,Corell FC,Stiglitz JE.2020.Optimal bailouts and the doom loop with a financial network.NBER Work.Pap.27074.

  Capponi A,LarssonM.2015.Price contagion through balance sheet linkages.Rev.Asset Pricing Stud.5:227-53.

  CentolaD.2018.How Behavior Spreads: The Science of Complex Contagions.Princeton,NJ: PrincetonUniv.Press.

  Chincarini LB.2012.The Crisis of Crowding: Quant Copycats,UglyModels,and the New Crash Normal. New York:Wiley.

  Cifuentes R,Ferrucci G,Shin HS.2005.Liquidity risk and contagion.J.Eur.Econ.Assoc. 3:556-66.

  Cohen-Cole E,Patacchini E,Zenou Y.2015.Static and dynamic networks in interbank markets.Netw.Sci.3:98-123.

  Covi G,Gorpe MZ,Kok C.2019.Comap: mapping contagion in the euro area banking sector.Work.Pap.2224,Eur.Cent.Bank,Frankfurt,Ger.

  Craig B,Von Peter G.2014.Interbank tiering and money center banks.J.Financ.Int. 23:322-47.

  Csóka P,Herings PJJ.2018.Decentralized clearing in financial networks.Manag.Sci.64(10):4681-99.

  Dam L,KoetterM.2012.Bank bailouts and moral hazard: evidence fromGermany.Rev.Financ.Stud. 25:2343-80.

  Davydenko SA,Strebulaev IA,Zhao X.2012.A market-based study of the cost of default.Rev.Financ.Stud.25:2959-99.

  Demange G.2016.Contagion in financial networks: a threat index.Manag.Sci.64:955-70.

  Demsetz H.1968.The cost of transacting.Q.J.Econ.82:33-53.

  D’Errico M,Roukny T.2019.Compressing over-the-counter markets.arXiv:1705.07155 \[q-fin.GN\].

  Diamond DW.1991.Monitoring and reputation: the choice between bank loans and directly placed debt.J.Political Econ. 99:689-721.

  Diamond DW,Dybvig PH.1983.Bank runs,deposit insurance,and liquidity.J.Political Econ.91:401-19.

  Diamond DW,Rajan RG.2011.Fear of fire sales,illiquidity seeking,and credit freezes.Q.J.Econ. 126:557-91.

  Diebold FX,Y’lmaz K.2014.On the network topology of variance decompositions: measuring the connectedness of financial firms.J.Econom.182:119-34.

  Duarte F,Eisenbach TM.2018.Fire-sale spillovers and systemic risk.Staff Rep.,Fed.Reserve Bank New York,New York.

  Duarte F,Jones C.2017.Empirical network contagion for U.S.financial institutions.Staff Rep.,Fed.Reserve Bank New York,New York.

  Duffie D.2019.Prone to fail: the pre-crisis financial system.J.Econ.Perspect.33:81-106.

  Duffie D,Eckner A,Horel G,Saita L.2009.Frailty correlated default.J.Finance 64:2089-123.

  Duffie D,Wang C.2016.Efficient contracting in network financial markets.Work.Pap.,Stanford Univ.,Stanford,CA.

  Duffie D,Zhu H.2011.Does a central clearing counterparty reduce counterparty risk? Rev.Asset Pricing Stud.1:74-95.

  Eisenberg L,Noe TH.2001.Systemic risk in financial systems.Manag.Sci.47:236-49.

  Elliott M,Georg CP,Hazell J.2018.Systemic risk-shifting in financial networks.Work.Pap.,Univ.Cambridge,Cambridge,UK.

  Elliott M,Golub B,Jackson MO.2014.Financial networks and contagion.Am.Econ.Rev. 104:3115-53.

  Engle RF,Ruan T.2019.Measuring the probability of a financial crisis.PNAS 116:18341-46.

  Erol S.2019.Network hazard and bailouts.Work.Pap.,Carnegie Mellon Univ.,Pittsburgh,PA.

  Erol S,Vohra R.2018.Network formation and systemic risk.Work.Pap.,Univ.Pa.,Philadelphia.

  Etessami K,Papadimitriou C,Rubinstein A,Yannakakis M.2019.Tarski’s theorem,supermodular games,and the complexity of equilibria.arXiv:1909.03210 \[cs.CC\],

  Farboodi M.2017.Intermediation and voluntary exposure to counterparty risk.Work.Pap.,Princeton Univ.,Princeton,NJ.

  Farmer JD,Kleinnijenhuis AM,Nahai-Williamson P,Wetzer T.2020.Foundations of systemwide financial stress testing with heterogeneous institutions.StaffWork.Pap.861,Bank Engl.,London.

  Ferrara G,Langfield S,Liu Z,Ota T.2017.Systemic illiquidity in the interbank network.Staff Work.Pap.586,Bank Engl.,London.

  Financ.Crisis Inq.Comm.2011.The Financial Crisis Inquiry Report.Washington,DC: US Gov.Print.Off.

  Fleming MJ,Sarkar A.2014.The failure resolution of Lehman Brothers.Econ.Policy Rev.,Fed.Reserve Bank New York,New York.

  Fostel A,Geanakoplos J.2008.Leverage cycles and the anxious economy.Am.Econ.Rev. 98:1211-44.

  Fostel A,Geanakoplos J.2014.Endogenous collateral constraints and the leverage cycle.Annu.Rev.Econ.6:771-99.

  Fricke D,Wilke H.2020.Connected funds.Dtsch.Bundesbank Discuss.Pap.48,Frankfurt,Ger.

  Gai P,Haldane A,Kapadia S.2011.Complexity,concentration and contagion.J.Monet.Econ. 58:453-70.

  Gai P,Kapadia S.2010.Contagion in financial networks. Proc.R.Soc.A 466:2401-23.

  Gale DM,Kariv S.2007.Financial networks.Am.Econ.Rev.97:99-103.

  Galeotti A,Ghiglino C.2021.Cross-ownership and portfolio choice.J.Econ.Theory 192:105194.

  Garas A.2016.Interconnected Networks.New York: Springer.

  Gehrig T.1993.Intermediation in search markets.J.Econ.Manag.Strategy 2:97-120.

  Glasserman P,Young HP.2015.How likely is contagion in financial networks? J.Bank.Finance 50:383-99.

  Glasserman P,Young HP.2016.Contagion in financial networks.J.Econ.Lit. 54(3):779-831.

  Glode V,Opp C.2016.Asymmetric information and intermediation chains.Am.Econ.Rev. 106:2699-721.

  Glode V,Opp CC,Zhang X.2019.On the efficiency of long intermediation chains. J.Financ.Int. 38:11-18.

  Godlewski CJ,Sanditov B.2018.Financial institutions network and the certification value of bank loans.Financ.Manag.47:253-83.

  Godlewski CJ,Sanditov B,Burger-Helmchen T.2012.Bank lending networks,experience,reputation,and borrowing costs: empirical evidence from the French syndicated lending market.J.Bus.Finance Account.39:113-40.

  Gofman M.2017.Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions.J.Financ.Econ.124:113-46.

  Greenwood R,Landier A,Thesmar D.2015.Vulnerable banks.J.Financ.Econ.115:471-85.

  Gualdi S,Cimini G,Primicerio K,Di Clemente R,Challet D.2016.Statistically validated network of portfolio overlaps and systemic risk.Sci.Rep.6:39467.

  Haldane AG.2009.Rethinking the financial network.Speech delivered at the Financial Student Association,Amsterdam,The Netherlands,April 28.

  Hastings M,Hemenway Falk B,Tsoukalas G.2020.Privacy-preserving network analytics.Work.Pap.,Univ.Pa.,Philadelphia.

  Hauton G,Héam JC.2016.How to measure interconnectedness between banks,insurers and financial conglomerates. Stat.Risk Model.33:95-116.

  Heipertz J,Ouazad A,Rancière R.2019.The transmission of shocks in endogenous financial networks: a structural approach.NBER Work.Pap.26049.

  Herskovic B.2018.Networks in production: asset pricing implications.J.Finance 73:1785-818.

  HirshleiferD,Teoh SH.2009.Systemic risk,coordination failures,and preparedness externalities: applications to tax and accounting policy. J.Financ.Econ.Policy 1:128-42.

  Holmstrom B,Tirole J.1997.Financial intermediation,loanable funds,and the real sector.Q.J.Econ. 112:663-91.

  Ibragimov R,Jaffee D,Walden J.2011.Diversification disasters.J.Financ.Econ. 99:333-48.

  Infante S,Vardoulakis A.2018.Collateral runs.Finance Econ.Discuss.Ser.2018-022,Board Gov.Fed.Reserve Syst.,Washington,DC.

  Jackson MO.2008.Social and Economic Networks. Princeton,NJ: Princeton Univ.Press.

  Jackson MO.2019.The Human Network: How Your Social Position Determines Your Power,Beliefs and Behaviors. New York: Pantheon.

  Jackson MO,Nei S.2015.Networks of military alliances,wars,and international trade.PNAS 112:15277-84.

  Jackson MO,Pernoud A.2019.Distorted investment incentives,regulation,and equilibrium multiplicity in a model of financial networks.Work.Pap.,Stanford Univ.,Stanford,CA.

  Jackson MO,Pernoud A.2020.Credit freezes,equilibrium multiplicity,and optimal bailouts in financial networks.Work.Pap.,Stanford Univ.,Stanford,CA.

  Jackson MO,Storms EC.2017.Behavioral communities and the atomic structure of networks.arXiv:1710.04656 \[physics.soc-ph\].

  Jackson MO,Wolinsky A.1996.A strategic model of social and economic networks.J.Econ.Theory 71:44-74.

  James C.1991.The losses realized in bank failures. J.Finance 46:1223-42.

  Jensen MC,MecklingWH.1976.Theory of the firm: managerial behavior,agency costs and ownership structure.J.Financ.Econ. 3:305-60.

  Kanik Z.2019.From Lombard Street to Wall Street: systemic risk,rescues,and stability in financial networks.Work.Pap.,Mass.Inst.Technol.,Cambridge.

  Karamysheva M,Seregina E.2020.Prudential policies and systemic risk: the role of interconnections.Work.

  Pap.,HSE Univ.,Moscow.

  Keynes JM.1936.The General Theory of Employment,Interest,and Money. London: Macmillan.

  King MA,Wadhwani S.1990.Transmission of volatility between stock markets.Rev.Financ.Stud.3:5-33.

  Kivela M,Arenas A,Gleeson JP,Moreno Y,Porter MA.2014.Multilayer networks.arXiv:1309.7233v4\[physics.soc-ph\].

  Kiyotaki N,Moore J.1997.Credit cycles.J.Political Econ.105:211-48.

  Klasing MJ,Milionis P.2014.Quantifying the evolution of world trade,1870-1949.J.Int.Econ.92:185-97.

  Krishnamurthy A.2010.Amplification mechanisms in liquidity crises.Am.Econ.J.Macroecon.2:1-30.

  Leitner Y.2005.Financial networks: contagion,commitment,and private sector bailouts.J.Finance 60:2925-53.

  Lucas D.2019.Measuring the cost of bailouts.Annu.Rev.Econ.11:85-108.

  Lucas RE Jr.2013.Glass-Steagall: a requiem.Am.Econ.Rev.103:43-47.

  Lund S,H-rle P.2017.Global finance resets.Finance Dev.54:42-44.

  Malherbe F.2014.Self-fulfilling liquidity dry-ups.J.Finance 69:947-70.

  Martínez J-F,Peiris MU,Tsomocos DP.2020.Macroprudential policy analysis in an estimated DSGE model with a heterogeneous banking system: an application to Chile.Work.Pap.,HSE Univ.,Moscow.

  Morris S,Shin HS.1998.Unique equilibrium in a model of self-fulfilling currency attacks.Am.Econ.Rev. 88:587-97.

  Morris S,Shin HS.2002.Social value of public information.Am.Econ.Rev. 92:1521-34.

  Nanumyan V,Garas A,Schweitzer F.2015.The network of counterparty risk: analysing correlations in OTC derivatives.PLOS ONE 10: e0136638.

  O’Hara M.1997. Market Microstructure Theory. Oxford,UK: Blackwell.

  Rajan RG.1992.Insiders and outsiders: the choice between informed and arm’s-length debt.J.Finance 47:1367-400.

  Ramírez C.2017.Firm networks and asset returns.Finance Econ.Discuss.Ser.2017-014,Board Gov.Fed.Reserve Syst.,Washington,DC.

  Ramírez C.2019.Regulating financial networks under uncertainty.Finance Econ.Discuss.Ser.2019-056,Board Gov.Fed.Reserve Syst.,Washington,DC.

  Reinhart C,Rogoff K.2009.This Time Is Different. Princeton,NJ: Princeton Univ.Press.

  Rochet JC,Tirole J.1996.Interbank lending and systemic risk.J.Money Credit Bank.28(4):733-62.

  Rogers LC,Veraart LA.2013.Failure and rescue in an interbank network.Manag.Sci.59:882-98.

  Roukny T,Battiston S,Stiglitz JE.2018.Interconnectedness as a source of uncertainty in systemic risk.J.Financ.Stab. 35:93-106.

  Scharfstein DS,Stein JC.1990.Herd behavior and investment.Am.Econ.Rev. 80:465-79.

  Shell K.1989.Sunspot equilibrium.In General Equilibrium,ed.J Eatwell,M Milgate,P Newman,pp.274-80.New York: Springer.

  Shiller RJ.2015.Irrational Exuberance. Princeton,NJ: Princeton Univ.Press.3rd ed.

  Shu C.2019.Endogenous risk-exposure and systemic instability.USC-INET Res.Pap.17-35,Univ.South.Calif.,Los Angeles.

  Siebenbrunner C.2021.Quantifying the importance of different contagion channels as sources of systemic risk.J.Econ.Interact.Coord.16:103-31.

  Silber WL.1983.The process of financial innovation.Am.Econ.Rev.73:89-95.

  Soram-ki K,Bech ML,Arnold J,Glass RJ,Beyeler WE.2007.The topology of interbank payment flows.Phys.A 379:317-33.

  Spulber DF.1996.Market microstructure and intermediation.J.Econ.Perspect. 10:135-52.

  Stellian R,Penagos GI,Danna-Buitrago JP.2021.Firms in financial distress: evidence from inter-firm payment networks with volatility driven by “animal spirits.” J.Econ.Interact.Coord. 16: 59-101.

  Summer M.2013.Financial contagion and network analysis.Annu.Rev.Financ.Econ.5:277-97.

  Tarullo DK.2019.Financial regulation: still unsettled a decade after the crisis.J.Econ.Perspect.33:61-80.

  Teteryatnikova M.2014.Systemic risk in banking networks: advantages of tiered banking systems.J.Econ.

  Dyn.Control 47:186-210.

  Upper C,Worms A.2004.Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? Eur.Econ.Rev. 48:827-49.

  Wagner W.2010.Diversification at financial institutions and systemic crises. J.Financ.Intermed.19:373-86.

  Wang C.2017.Core-periphery trading networks.PhD Thesis,Stanford Univ.,Stanford,CA.

  Wang JJ,Capponi A,Zhang H.2020.A theory of collateral requirements for central counterparties.Work.Pap.,Ariz.State Univ.,Tempe.

  Yellen J.2013.Interconnectedness and systemic risk: lessons from the financial crisis and policy implications: a speech at the American Economic Association/American Finance Association.

  Joint Luncheon,San Diego,California,January 4,2013.Speech 631,Board Gov.Fed.Reserve Syst.,Washington,DC.

  [《比较》印刷版,点此订阅,随时起刊,免费快递。]

版面编辑:吴秋晗
财新网主编精选版电邮 样例
财新网新闻版电邮全新升级!财新网主编精心编写,每个工作日定时投递,篇篇重磅,可信可引。
订阅