Contagiousness and Vulnerability in the Austrian Interbank Market
Contagiousness and Vulnerability in the Austrian Interbank Market
复制标题
奥地利银行间市场的传染性和脆弱性
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
Michael Sigmund
中科院分区：
文献类型：
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作者：
Claus Puhr;R. Seliger;Michael Sigmund
本文的目的是分析（假设）传染性银行违约，即违约不是由给定银行的基本面弱点引起的，而是由银行系统的失败引发的。当倒闭银行无法荣誉其在银行间市场上的承诺时，它们可能会导致其他银行违约，这反过来可能会将更多银行推向所谓的违约级联的边缘。在我们的论文中，我们区分了传染性（特定银行因传染而倒闭的银行占银行业总资产的份额）和脆弱性（连锁倒闭导致银行倒闭的银行数量）。我们的分析包括三个步骤：首先，我们分析了奥地利银行间市场从2008年底到2011年底的结构。第二，我们运行（假设）违约模拟的基础上Eisenberg和Noe（2001）的同一组银行。最后，我们估计了一个面板数据模型，以解释这些模拟与网络的底层结构产生的（假设的）违约，使用网络指标，反映（i）网络作为一个整体，（ii）子网络或集群，（iii）基于银行的银行间借贷关系的节点水平。因此，我们发现一家银行在奥地利银行间市场的头寸与其造成传染或受传染影响的可能性之间存在很强的相关性。虽然我们的分析是基于一个数据集限制到未合并的奥地利银行的银行间市场，我们相信我们的研究结果可以通过分析其他银行系统（尽管有不同的模型校准）进行验证。鉴于识别具有系统重要性的银行对于制定宏观审慎政策的重要性，我们认为，我们的分析有可能改善我们对银行间市场第二轮效应和违约级联的评估。
The purpose of this paper is to analyze (hypothetical) contagious bank defaults, i.e. defaults not caused by the fundamental weakness of a given bank but triggered by failures in the banking system. As failing banks become unable to honor their commitments on the interbank market, they may cause other banks to default, which may in turn push even more banks over the edge in so-called default cascades. In our paper we distinguish between contagiousness (the share of total banking assets represented by those banks that a specific bank brings down by contagion) and vulnerability (the number of banks by which a bank is brought down by cascading failures). Our analysis consists of three steps: first, we analyze the structure of the Austrian interbank market from end-2008 to end-2011. Second, we run (hypothetical) default simulations based on Eisenberg and Noe (2001) for the same set of banks. Finally, we estimate a panel data model to explain the (hypothetical) defaults generated by these simulations with the underlying structure of the network using network indicators that reflect (i) the network as a whole, (ii) a subnetwork or cluster, and (iii) the node level based on banks’ interbank lending relationships. As a result we find strong correlations between a bank’s position in the Austrian interbank market and its likelihood of either causing contagion or being affected by contagion. Although our analysis is based on a dataset constrained to the interbank market of unconsolidated Austrian banks, we believe our findings could be verified by analyzing other banking systems (albeit with a different model calibration). Given the importance of identifying systemically important banks for the formulation of macroprudential policy, we believe that our analysis has the potential to improve our assessment with regard to second-round effects and default cascades in the interbank market.