The Structure and Resilience of the European Interbank Market
The Structure and Resilience of the European Interbank Market
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欧洲银行间市场的结构和弹性
DOI：
10.2139/ssrn.3723333
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Guillaume Vuillemey
中科院分区：
文献类型：
--
作者：
I. Alves;Stijn Ferrari;P. Franchini;J. Héam;Pavol Jurča;Sebastiano Laviola;Sam Langfield;F. Liedorp;A. Sánchez;S. Tavolaro;Guillaume Vuillemey
金融机构通过一系列双边交易相互联系。在正常情况下，机构之间的联系可能导致有效的风险转移。但在危机中，这种联系可能会促进危机蔓延——因为最初的问题会导致违约链和流动性短缺——而这些问题是由金融体系内部或实体经济可能出现的冲击引发的。各机构也以间接方式相互联系，因为它们面临可能导致同时损失的共同风险因素。例如，大多数银行发放以房地产为担保的贷款：因此，它们集体受到房价下跌的影响。由此导致的银行困境可能会加剧最初的问题：银行可能同时出售抵押品（房屋），从而加剧价格螺旋式下跌。不太明显的是，机构之间也可以通过对交易对手信誉的感知来联系起来。考虑到不确定性，金融机构可能普遍不愿相互拆借，并囤积流动性。由于相互关联而产生的传染可能性是系统性风险的一个关键组成部分。作为理解传染机制的第一步，本文根据各国监管机构截至2011年底收集的银行间风险敞口的独特数据，从银行间复杂的间接联系中抽调出来，重点关注53家欧盟大型银行之间的直接联系。JEL分类：G01， E58, G21
Financial institutions are connected to each other by a series of bilateral transactions. In normal times, institutions’ connections may result in efficient risk transfer. But in crises, connections can facilitate contagion – as initial problems lead to chains of defaults and liquidity shortages – sparked by shocks which might arise within the financial system or from the real economy. Institutions are also interconnected in indirect ways, since they are exposed to common risk factors that can result in concurrent losses. For example, most banks extend loans secured by real estate: they are thus collectively exposed to falls in house prices. Resulting bank distress can then exacerbate initial problems: banks might simultaneously sell collateral (houses), thus worsening downward price spirals. Less tangibly, institutions can also be connected through perceptions of counterparties’ creditworthiness. Given uncertainty, financial institutions may in general become reluctant to lend to each other and hoard liquidity. Potential for contagion due to interconnectedness is a key component of systemic risk. As a first step towards understanding the mechanisms of contagion, this paper abstracts from complex indirect connections between banks, and rather focuses on direct linkages between 53 large EU banks, based on unique data on interbank exposures collected by national regulators as of the end of 2011. JEL Classification: G01, E58, G21
影响因子：
1.6
作者：
Mantegna, RN
通讯作者：
Mantegna, RN