Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Financial contagion with spillover effects: a multiplex network approach. (2016). Crisóstomo, Ricardo ; Crisostomo, Ricardo ; Peralta, Gustavo .
In: ESRB Working Paper Series.
RePEc:srk:srkwps:201632.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Measuring Transition Risk in Investment Funds. (2023). Crisostomo, Ricardo.
    In: CNMV Working Papers.
    RePEc:cnv:wpaper:dt_81en.

    Full description at Econpapers || Download paper

  2. Measuring Transition Risk in Investment Funds. (2022). Crisostomo, Ricardo .
    In: Papers.
    RePEc:arx:papers:2210.15329.

    Full description at Econpapers || Download paper

  3. Systemic risk in bank-firm multiplex networks. (2020). Wu, Chaoqun ; Liu, Yifu.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301369.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acemoglu, D., A. Ozdaglar, and A. Tahbaz-Salehi, 2015, Systemic Risk and Stability in Financial Networks, The American Economic Review 105, 564–608.

  2. Acemoglu, D., A. Ozdaglar, and A. Thabaz-Salehi, 2015, Networks, Shocks and Systemic Risk. NBER -Working Paper.

  3. Bargigli, L., G. di Iasio, L. Infante, F. Lillo, and F. Pierobon, 2015, The multiplex structure of interbank networks, Quantitative Finance 15, 673–691.

  4. Battiston, S., D. Delli Gatti, M. Gallegati, B. Greenwald, and J. E. Stiglitz, 2012, Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk, Journal of Economic Dynamics & Control 36, 1121–1141.

  5. Blavarg, M., and P. Nimander, 2002, Inter-bank exposures and systemic risk, Sveriges Riksbank. Economic Review 2, 19–45.
    Paper not yet in RePEc: Add citation now
  6. Brunnermeier, M., 2009, Deciphering the Liquidity and Credit Crunch 2007–2008, Journal of Economic Perspectives 23, 77–100.

  7. Caccioli, Fabio, J. Doyne Farmer, Nick Foti, and Daniel Rockmore, 2015, Overlapping portfolios, contagion, and financial stability, Journal of Economic Dynamics and Control 51, 50–63.

  8. Cifuentes, R., G. Ferrucci, and H. Shin, 2005, Liquidity Risk and Contagion, Journal of the European Economic Association 3, 556–566.

  9. D’Agostino, G., 2014, Networks of Networks: The Last Frontier of Complexity. Ed. Gregorio D’Agostino and Antonio Scala. Understanding Complex Systems (Springer International Publishing, Cham).
    Paper not yet in RePEc: Add citation now
  10. De Bandt, O., and P. Hartmann, 2000, SYSTEMIC RISK: A SURVEY, European Central Bank - Working Paper.

  11. Degryse, H., and G. Nguyen, 2007, Interbank Exposures : An Empirical Examination of Contagion Risk in the Belgian, International Journal of Central Banking 3, 123–171.

  12. ESRB, 2016, Indirect contagion : the policy problem, ESRB Occasional Paper Series 9.
    Paper not yet in RePEc: Add citation now
  13. Fourel, V., J.C. Hèam, D. Salakhova, and S. Tavolaro, 2013, Domino Effects when Banks Hoard Liquidity: The French Network. Working Paper - Banque de France.

  14. FSB, 2012, Securities Lending and Repos: Market Overview and Financial Stability Issues, .
    Paper not yet in RePEc: Add citation now
  15. Furfine, C., 2003, Interbank Exposures : Quantifying the Risk of Contagion, Journal of Money, Credit and Banking 35, 111–128.

  16. Gai, P., A. Haldane, and S. Kapadia, 2011, Complexity, concentration and contagion, Journal of Monetary Economics 58, 453–470.

  17. Gai, P., and S. Kapadia, 2010, Contagion in financial networks, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 466, 2401–2423.

  18. Gorton, G., and A. Metrick, 2012, Securitized banking and the run on repo, Journal of Financial Economics 104, 425–451.

  19. Kennan, J., 2001, Uniqueness of Positive Fixed Points for Increasing Concave Functions on n: An Elementary Result, Review of Economic Dynamics 4, 893–899.

  20. Langfield, Sam, Zijun Liu, and Tomohiro Ota, 2014, Mapping the UK interbank system, Journal of Banking and Finance 45, 288–303.

  21. Lee, S. H., 2013, Systemic liquidity shortages and interbank network structures, Journal of Financial Stability 9, 1–12.

  22. Müller, J., 2006, Interbank Credit Lines as a Channel of Contagion, Journal of Financial Services Research 29, 37– 61.
    Paper not yet in RePEc: Add citation now
  23. Martinez Jaramillo, S., O. Pérez Pérez, F. Avlia Embriz, and F. Lopez Gallo Dey, 2010, Systemic risk, financial contagion and financial fragility, Journal of Economic Dynamics & Control 34, 2358–2374.

  24. Mistrulli, P., 2011, Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns, Journal of Banking & Finance 35, 1114–1127.

  25. Molina-Borboa, J., S. Martínez-Jaramillo, and F. Lopez-Gallo, 2015, A multiplex network analysis of the Mexican banking system : link persistence , overlap, Journal of Network Theory in Finance 1, 99–138.
    Paper not yet in RePEc: Add citation now
  26. Montagna, M., and C. Kok, 2013, Multi-layered interbank model for assessing systemic risk. Kiel Working Papers.

  27. Nier, E., J. Yang, T. Yorulmazer, and A. Alentorn, 2007, Network models and financial stability, Journal of Economic Dynamics & Control 31, 2033–2060.

  28. Sheldon, G., and M. Maurer, 1998, Interbank lendinding and systemic risk: an empirical analysis for switzerland, Swiss Journal of Economics and Statistics 134, 685–704.

  29. Shleifer, A., and R. W. Vishny, 2011, Fire sales in finance and macroeconomics, The Journal of Economic Perspectives 25, 29–48.

  30. Upper, C., 2011, Simulation methods to assess the danger of contagion in interbank markets, Journal of Financial Stability 7, 111–125.

  31. Upper, C., and A. Worms, 2004, Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?, European Economic Review 48, 827–849.

  32. van Lelyveld, I., and F. Liedorp, 2006, Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis, International Journal of Central Banking 2, 99–133.

  33. Wells, S., 2002, UK interbank exposures: systemic risk implications, Financial Stability Review - Bank of England, 175–182.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Another history of global financial markets: Local stock market integration since 1913 from a network perspective. (2023). PARENT, Antoine ; BASTIDON, Cécile ; Bordo, Michael ; Weidenmier, Marc Daniel.
    In: The World Economy.
    RePEc:bla:worlde:v:46:y:2023:i:8:p:2456-2477.

    Full description at Econpapers || Download paper

  2. How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300285.

    Full description at Econpapers || Download paper

  3. CoMap: Mapping Contagion in the Euro Area Banking Sector. (2019). Kok, Christoffer ; Covi, Giovanni ; Gorpe, Mehmet Ziya.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2019/102.

    Full description at Econpapers || Download paper

  4. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/283963.

    Full description at Econpapers || Download paper

  5. Contagion in Financial Networks: A Threat Index. (2018). Demange, Gabrielle.
    In: Post-Print.
    RePEc:hal:journl:halshs-01630616.

    Full description at Econpapers || Download paper

  6. The Macroeconomic Impact of Microeconomic Shocks: Beyond Hultens Theorem. (2017). Farhi, Emmanuel ; Baqaee, David.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:479.

    Full description at Econpapers || Download paper

  7. Privacy-constrained network formation. (2017). Acemoglu, Daron ; Makhdoumi, Ali ; Ozdaglar, Asuman ; Malekian, Azarakhsh.
    In: Games and Economic Behavior.
    RePEc:eee:gamebe:v:105:y:2017:i:c:p:255-275.

    Full description at Econpapers || Download paper

  8. Systemic illiquidity in the interbank network. (2017). Liu, Zijun ; Langfield, Sam ; Ferrara, Gerardo ; Ota, Tomohiro .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0586.

    Full description at Econpapers || Download paper

  9. Peer Monitoring, Eigentümerstruktur und die Stabilität von Banken: Eine empirische Analyse für den deutschen genossenschaftlichen Bankensektor. (2016). Gunther, Susanne .
    In: Arbeitspapiere.
    RePEc:zbw:wwuifg:167.

    Full description at Econpapers || Download paper

  10. The Consequences of Bank Loan Growth: Evidence from Asia. (2016). Vithessonthi, Chaiporn.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:19..

    Full description at Econpapers || Download paper

  11. Are Banking Shocks Contagious? Evidence from the Eurozone. (2016). Flavin, Thomas ; Lagoa-Varela, Dolores .
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n268-16.pdf.

    Full description at Econpapers || Download paper

  12. Crisis Transmission in the Global Banking Network. (2016). Hale, Galina ; Minoiu, Camelia ; Kapan, Tumer.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/091.

    Full description at Econpapers || Download paper

  13. Defaulting firms and systemic risks in financial networks. (2016). Houy, Nicolas ; Jouneau, Frederic .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01267340.

    Full description at Econpapers || Download paper

  14. Defaulting firms and systemic risks in financial networks. (2016). Houy, Nicolas ; Jouneau, Frederic .
    In: Working Papers.
    RePEc:gat:wpaper:1606.

    Full description at Econpapers || Download paper

  15. Volatility and correlation-based systemic risk measures in the US market. (2016). Civitarese, Jamil .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:459:y:2016:i:c:p:55-67.

    Full description at Econpapers || Download paper

  16. A financial network perspective of financial institutions’ systemic risk contributions. (2016). Yao, Shuang ; Uryasev, Stan ; Zhuang, Xin-Tian .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:456:y:2016:i:c:p:183-196.

    Full description at Econpapers || Download paper

  17. Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

    Full description at Econpapers || Download paper

  18. The credit quality channel: Modeling contagion in the interbank market. (2016). Fink, Kilian ; Wong, Lui-Hsian ; Meller, Barbara ; Kruger, Ulrich .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:83-97.

    Full description at Econpapers || Download paper

  19. Overnight interbank markets and the determination of the interbank rate: A selective survey. (2016). Green, Christopher ; Tiriongo, Samuel ; Maana, Isaya ; Ngoka, Kethi ; Murinde, Victor ; Bai, YE.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:149-161.

    Full description at Econpapers || Download paper

  20. Network structure analysis of the Brazilian interbank market. (2016). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:26:y:2016:i:c:p:130-152.

    Full description at Econpapers || Download paper

  21. Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161898.

    Full description at Econpapers || Download paper

  22. Implicit rating: A potential new method to alert crisis on the interbank lending market. (2016). Berlinger, Edina.
    In: Corvinus Economics Working Papers (CEWP).
    RePEc:cvh:coecwp:2016/04.

    Full description at Econpapers || Download paper

  23. On the Economics of Crisis Contracts. (2016). Gersbach, Hans ; Volker, Britz ; Elias, Aptus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11267.

    Full description at Econpapers || Download paper

  24. Financial Regulation in Europe: Foundations and Challenges. (2016). Carletti, Elena ; Beck, Thorsten ; Goldstein, Itay.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11147.

    Full description at Econpapers || Download paper

  25. Financial Linkages, Portfolio Choice and Systemic Risk. (2016). Goyal, Sanjeev ; Galeotti, Andrea ; Ghiglinoy, Christian .
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1612.

    Full description at Econpapers || Download paper

  26. Equity Markets’ Clustering and the Global Financial Crisis. (2016). Martínez, Constanza ; León, Carlos ; Martinez, Constanza ; Kim, Geun-Young ; Leon, Carlos ; Lee, Daeyup.
    In: Borradores de Economia.
    RePEc:bdr:borrec:937.

    Full description at Econpapers || Download paper

  27. Structure and Dynamics of the Global Financial Network. (2016). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens.
    In: Working Papers Series.
    RePEc:bcb:wpaper:439.

    Full description at Econpapers || Download paper

  28. Modeling Financial Networks: a feedback approach. (2016). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre.
    In: Working Papers Series.
    RePEc:bcb:wpaper:438.

    Full description at Econpapers || Download paper

  29. A Microfounded Design of Interconnectedness-Based Macroprudential Policy. (2016). Fique, Jose.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-6.

    Full description at Econpapers || Download paper

  30. Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Wili, Mateusz ; Smaga, Pawel.
    In: Papers.
    RePEc:arx:papers:1603.05142.

    Full description at Econpapers || Download paper

  31. Too interconnected to fail: A survey of the interbank networks literature. (2015). Hüser, Anne-Caroline ; Huser, Anne-Caroline.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:91.

    Full description at Econpapers || Download paper

  32. The credit quality channel: Modeling contagion in the interbank market. (2015). Fink, Kilian ; Wong, Lui-Hsian ; Meller, Barbara ; Kruger, Ulrich .
    In: Discussion Papers.
    RePEc:zbw:bubdps:382015.

    Full description at Econpapers || Download paper

  33. The Econometrics of Networks: A Review. (2015). Ahelegbey, Daniel Felix.
    In: Working Papers.
    RePEc:ven:wpaper:2015:13.

    Full description at Econpapers || Download paper

  34. Surfing through the GFC: systemic risk in Australia. (2015). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius.
    In: Working Papers.
    RePEc:tas:wpaper:22658.

    Full description at Econpapers || Download paper

  35. Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:764.

    Full description at Econpapers || Download paper

  36. Economic resilience: The usefulness of early warning indicators in OECD countries. (2015). Röhn, Oliver ; Hermansen, Mikkel ; Rohn, Oliver.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1250-en.

    Full description at Econpapers || Download paper

  37. Economic resilience: A new set of vulnerability indicators for OECD countries. (2015). Röhn, Oliver ; Rohn, Oliver ; Rasmussen, Morten ; Hermansen, Mikkel ; Sanchez, Aida Caldera.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1249-en.

    Full description at Econpapers || Download paper

  38. Contagion Risk and Network Design. (2015). Goyal, Sanjeev ; Cerdeiro, Diego ; Dziubinski, Marcin .
    In: Working Papers.
    RePEc:fem:femwpa:2015.56.

    Full description at Econpapers || Download paper

  39. Network games with incomplete information. (2015). Zenou, Yves ; de Marti, Joan.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:61:y:2015:i:c:p:221-240.

    Full description at Econpapers || Download paper

  40. Information, Coordination, and Market Frictions: An Introduction. (2015). Vives, Xavier ; Pavan, Alessandro.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:158:y:2015:i:pb:p:407-426.

    Full description at Econpapers || Download paper

  41. Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions. (2015). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s241-s255.

    Full description at Econpapers || Download paper

  42. Transmission channels of systemic risk and contagion in the European financial network. (2015). Paltalidis, Nikos ; Koutelidakis, Yiannis ; Kizys, Renatas ; Gounopoulos, Dimitrios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s1:p:s36-s52.

    Full description at Econpapers || Download paper

  43. Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151866.

    Full description at Econpapers || Download paper

  44. Conflict and Networks. (2015). Goyal, Sanjeev ; Dziubinski, Marcin ; Vigier, Adrien.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1565.

    Full description at Econpapers || Download paper

  45. Contagion Risk and Network Design. (2015). Goyal, Sanjeev ; Cerdeiro, Diego ; Dziubinski, Marcin .
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1547.

    Full description at Econpapers || Download paper

  46. Networks and the macroeconomy: an empirical exploration. (2015). Acemoglu, Daron ; Kerr, William R ; Akcigit, Ufuk.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:urn:nbn:fi:bof-201512101464.

    Full description at Econpapers || Download paper

  47. Networks and the macroeconomy: an empirical exploration. (2015). Kerr, William ; Akcigit, Ufuk ; Acemoglu, Daron.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2015_025.

    Full description at Econpapers || Download paper

  48. Network Structure Analysis of the Brazilian Interbank Market. (2015). Tabak, Benjamin ; Silva, Thiago ; Sergio Rubens Stancato de Souza, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:391.

    Full description at Econpapers || Download paper

  49. Network Games with Incomplete Information. (2014). Zenou, Yves ; de Martí Beltran, Joan ; de Marti, Joan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10290.

    Full description at Econpapers || Download paper

  50. Key Players. (2014). Zenou, Yves.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10277.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-15 17:44:25 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.