题目: Systemic Bank Panics in Financial Networks
主讲人: 周臻
时间：2015年11月11日（周三）下午1:30
地点：国际经管学院会议室（诚明楼三层）
主办方：国际经济管理学院
摘要:
This paper embeds panic-based runs in financial markets into the analysis of the fragility of financial networks. Panics can be contagious when banks are interconnected. During normal times, when banks are exposed to a fixed distribution of liquidity shocks but no bank is forced to default, I find a novel mechanism to show that financial networks with weaker connections (corresponding to a more diversified pattern of interbank liabilities) will trigger more panics and, in that sense, be more fragile. When one bank in the network receives a shock that is large enough to make it insolvent, creditors may be uncertain about the financial linkages between their bank and the initial distressed bank. In such a situation, when a crisis is underway, information disclosure is likely to trigger more panics from the initial distressed bank and facilitate financial contagion. In this context, less diversified networks are more sensitive to creditors' information and beliefs about the initial distressed bank, and could be more fragile. I find that, in core periphery networks, core banks with higher exposures and more counterparties will face more panics from their creditors. The financial system is more fragile when core banks intermediate a higher volume of lending with periphery banks.
主讲人简介：周臻，现为纽约大学博士，曾获复旦大学学士学位、清华大学硕士学位。主要研究方向为宏观经济学。
