Zarażenie w systemie bankowym - przyczyny i mechanizmy
##plugins.themes.bootstrap3.article.sidebar##
##plugins.themes.bootstrap3.article.main##
Abstrakt
Celem opracowania jest analiza przyczyn i mechanizmów zarażenia w systemie bankowym. Uwzględnione zostały trzy rodzaje szoków. Pierwszym z nich jest panika bankowa, powodowana zarówno przez zdarzenia losowe, jak i wyrastająca z czynników fundamentalnych. Pokazano, dlaczego tego typu zakłócenia rozprzestrzeniają się następnie w systemie i od czego zależy jego wrażliwość. Drugi typ szoków związany jest z dostosowaniami w bilansach banków. Wzajemne powiązanie portfeli banków prowadzi do zarażenia. I w końcu zarażenie powstaje na międzybankowym rynku pieniężnym i rozprzestrzenia się za pośrednictwem łączących banki sieci. O sile zarażenia w znacznej mierze decyduje charakter tych powiązań.(abstrakt oryginalny)
##plugins.themes.bootstrap3.article.details##
Bibliografia
Acharya V., D. Gromb T. Yorulmazer, Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking, http://www.clevelandfed.org/research/Conferences/2008/4_17-18/Acharya-Gromb- Yorulmazer.pdf Aharony J., I. Swary, Contagion Effects of Bank Failures: Evidence from Capital Markets, “Journal of Business” 1983, No. 3.
Allen F., E. Carletti, Should Financial Institutions Mark-to-market?, “Banque de France Financial Stability Review” 2008, No. 12.
Allen F., D. Gale, Financial Contagion, “Journal of Political Economy” 2000, No. 1.
Bandt de O., Competition among Financial Intermediaries and the Risk of Contagious Failures, “Banque de France Notes d.Etudes et de Recherches” 1995, No. 30.
Bhattacharya S., A. V. Thakor, Contemporary Bankig Theory, “Journal of Financial Intermediation” 1993, No. 1.
Bougheas S., Contagious Bank Runs, “International Review of Economics and Finance” 1999, No. 2.
Bräuning F., F. Fecht, Relationship Lending in the Interbank Market and the Price of Liquidity, “Deutsche Bundesbank Discussion Paper” 2012, No. 22/2012.
Caballero J., Ch. Candelaria, G. Hale, Bank Relationships and the Depth of the Current Economic Crisis, “FRBSF Economic Letters” 2009, No. 38.
Caballero R., A. Simsek, Complexity and Financial Panics, ”NBER Working Paper” 2009, No. 14997.
Carlson M., Causes of Bank Suspensions in the Panic of 1893, “Board of Governors of the Federal Reserve System Working Paper” 2002, No. 2002-11.
Chan-Lau J. A., Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems, “IMF Working Paper” 2010, No. WP/10/107.
Chari V., R Jagannathan, Banking Panics, Information, and Rational Expectations Equilibrium, “Journal of Finance” 1988, No. 3.
Chen Y., Banking Panics: The Role of the First-Come, First-Served Rule and Information Externalities, “Journal of Political Economy” 1999, No. 5.
Chmielewski T., A. Sławiński: Wykorzystanie instrumentów nadzorczych w polityce makrostabilizacyjnej. „Zarządzanie Publiczne” 2010, nr 3.
Cifuentes R., H. S. Shin, G Ferrucci, Liquidity Risk and Contagion, “Journal of the European Economic Association” 2005, No. 2/3.
Degryse H., G. Nguyen, Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System, „Tilburg Law and Economic Center Discussion Paper” 2006, No. 2006-016.
Demirgüç-Kunt A., H. Huizinga, Bank Activity and Funding Strategies: The Impact on Risk and Return, “European Banking Center Discussion Paper” 2009, No. 2009–01.
Diamond D. W., P. H. Dybvig, Bank Runs, Deposit Insurance, and Liquidity, “Journal of Political Economy” 1983, No. 3.
Diamond D. W., R. G Rajan, Fear of Fire Sales and the Credit Freeze, “BIS Working Papers” 2010, No 305.
Eisfeldt A. L., Endogenous Liquidity in Asset Markets, “Journal of Finance” 2004, No. 1.
Feldman R. J., J. Schmidt, Increased Use of Uninsured Deposits Implications for Market Discipline “Fedgazette” 2001, March 1.
Gabrieli S., The Microstructure of the Money Market Before and After the Financial Crisis: A Network Perspective, “CEIS Research Paper” 2011, No. 181.
Georg Co-Pierre, The Effect of the Interbank Network Structure on Contagion and Financial
Stability, “Bundesbank Research Centre Discussion Paper Banking and Financial Studies” 2011, No. 2011,12.
Gropp R., M. Lo Duca, J. Vesala, Cross Border Bank Contagion in Europe, “ECB Working Paper Series” 2006, No. 662.
Haldane A. G., Rethinking the Financial Network, Bank of England http://www.bankofengland.co.uk/publications/speeches/2009/speech386.pdf Hale G., Bank Relationships, Business Cycles, and Financial Crises, “NBER Working Paper” 2011, No. 17356.
Iori G., S. Jafarey, F. Padilla, Systemic Risk on the Interbank Market, “Journal of Economic Behavior and Organization” 2006, No. 4.
Iyer R., M. Puri, Who Runs? The Importance of Relationships in Bank Runs, “NBER Working Paper” 2008, No. 14280.
Kaufman G. G., Bank Contagion: A Review of the Theory and Evidence, “Journal of Financial Services Research” 1994, No. 2.
Kaufman G. G., Bank Rurns: Causes, Benefits, and Costs, “Cato Journal” 1988, No. 3.
Lai A., Modelling Financial Instability. A Survey of the Literature, “Bank of Canada Working Paper” 2012. No. 2012-12.
Leitner Y., Financial Networks: Contagion, Commitment, and Private-Sector Bailouts, “Journal of Finance” 2005, December.
Malherbe F., Self-Fulfilling Liquidity Dry-Ups, “Journal of Finance” w druku.
Masi de G., Y. Fujiwara, M. Gallegati, B. Greenwald, J. E. Stiglitz, An Analysis of the Japanese Credit Network, “Evolutionary and Institutional Economics Review” 2011, No. 2.
Mitchell W. S., What Happens During Business Cycles, A Progress Report, NBER, New York 1951.
Shleifer A., R. W. Vishny, Liquidation Values and Debt Capacity: A Market Eguilibrium Approach, “Journal of Finance” 1992, No. 4.
Tirole J., Illiquidity and All Its Friends, “BIS Working Papers” No. 303.
Upper Ch., Contagion Due To Interbank Credit Exposures: What Do We Know, Why Do We Know It, and What Should We Know, BIS mimeo 2006.