Measuring Factors Affecting Financial Contagion
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| Author | : Stijn Claessens |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 461 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 1475733143 |
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
| Author | : Mehmet Ziya Gorpe |
| Publisher | : International Monetary Fund |
| Total Pages | : 63 |
| Release | : 2019-05-10 |
| Genre | : Business & Economics |
| ISBN | : 1498312071 |
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
| Author | : Markus Brunnermeier |
| Publisher | : University of Chicago Press |
| Total Pages | : 286 |
| Release | : 2014-10-17 |
| Genre | : Business & Economics |
| ISBN | : 022609264X |
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
| Author | : Joseph G. Haubrich |
| Publisher | : University of Chicago Press |
| Total Pages | : 286 |
| Release | : 2013-01-24 |
| Genre | : Business & Economics |
| ISBN | : 0226319288 |
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
| Author | : Mrs.Jana Bricco |
| Publisher | : International Monetary Fund |
| Total Pages | : 49 |
| Release | : 2019-10-11 |
| Genre | : Business & Economics |
| ISBN | : 1513517856 |
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
| Author | : Mr.Stijn Claessens |
| Publisher | : International Monetary Fund |
| Total Pages | : 66 |
| Release | : 2013-01-30 |
| Genre | : Business & Economics |
| ISBN | : 1475561008 |
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
| Author | : Reto Francioni |
| Publisher | : Springer |
| Total Pages | : 612 |
| Release | : 2017-01-17 |
| Genre | : Business & Economics |
| ISBN | : 3319458485 |
This book underscores the complexity of the equity markets, the challenges they face, and the fact that they are still a work in process. Three interacting forces drive market change: competition, technology change, and regulatory change. The markets have one major objective in particular to achieve: the delivery of accurate price discovery for both traders and the broader market. Are we getting it? Are competition, technology, and regulation acting together to improve market quality, or are they adding to the complexity of the markets and making accurate price discovery harder to achieve? The difficulty of addressing these issues and reaching a consensus regarding public policy is reflected in the diverse opinions expressed in this book. From an institutional perspective, the volume’s contributors highlight the interconnectedness of all aspects of the internal and external environment within which exchange organizations act. Equity Markets in Transition underscores how technological evolution and recent regulatory changes have influenced the business, and how these developments have opened new possibilities for exchange organizations and for equity markets as a whole, including such issues as the impact of equity markets on job creation. The book combines both a theoretical and a practical approach. Part I presents a theoretical overview of the international equity market business, including an overall description of the value chain of stock trading that includes deep dives on every decisive step. Part II contains contributions from various business specialists who have specific practical and academic knowledge of the different steps. Equity Markets in Transition represents a unique combination of theoretical and practical analysis that offers first-hand insights on all relevant interactions and interrelations among the various parts of the exchange business, with an emphasis on facilitating analysis of the status quo and of emerging trends regarding business models, regulation, and the development of the competitor, customer and investor sides.
| Author | : Roberto Chang |
| Publisher | : World Bank Publications |
| Total Pages | : 40 |
| Release | : 2000 |
| Genre | : Bankruptcy and Resolution of Financial Distress |
| ISBN | : |
What can the international community do to prevent financial contagion?
| Author | : Yann Bramoullé |
| Publisher | : Oxford University Press |
| Total Pages | : 857 |
| Release | : 2016-03-01 |
| Genre | : Business & Economics |
| ISBN | : 0190216832 |
The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics. From a methodological perspective, the contributors to this volume devote attention to theory, field experiments, laboratory experiments, and econometrics. Theoretical work in network formation, games played on networks, repeated games, and the interaction between linking and behavior is synthesized. A number of chapters are devoted to studying social process mediated by networks. Topics here include opinion formation, diffusion of information and disease, and learning. There are also chapters devoted to financial contagion and systemic risk, motivated in part by the recent financial crises. Another section discusses communities, with applications including social trust, favor exchange, and social collateral; the importance of communities for migration patterns; and the role that networks and communities play in the labor market. A prominent role of networks, from an economic perspective, is that they mediate trade. Several chapters cover bilateral trade in networks, strategic intermediation, and the role of networks in international trade. Contributions discuss as well the role of networks for organizations. On the one hand, one chapter discusses the role of networks for the performance of organizations, while two other chapters discuss managing networks of consumers and pricing in the presence of network-based spillovers. Finally, the authors discuss the internet as a network with attention to the issue of net neutrality.
| Author | : Tsan-Ming Choi |
| Publisher | : Springer |
| Total Pages | : 281 |
| Release | : 2017-05-04 |
| Genre | : Business & Economics |
| ISBN | : 3319535188 |
This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This “big data” provides new opportunities to improve decision making and addresses risk for individuals as well in organizations. While utilizing data smartly can enhance decision making, how to use and incorporate data into the decision making framework remains a challenging topic. Ultimately the chapters in this book present new models and frameworks to help overcome this obstacle. Optimization and Control for Systems in the Big-Data Era: Theory and Applications is divided into five parts. Part I offers reviews on optimization and control theories, and Part II examines the optimization and control applications. Part III provides novel insights and new findings in the area of financial optimization analysis. The chapters in Part IV deal with operations analysis, covering flow-shop operations and quick response systems. The book concludes with final remarks and a look to the future of big data related optimization and control problems.
