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Incomplete Interest Rate Pass-Through and Optimal Monetary Policy
Many recent empirical studies have reported that the passthrough from money-market rates to retail lending rates is far from complete in the euro area. This paper formally shows that when only a
A Note on Expectational Stability under Non-Zero Trend Inflation
This study examines the expectational stability of the rational expectations equilibria (REE) under alternative Taylor rules when trend inflation is non-zero. We find that when trend inflation is
Network models of financial systemic risk: a review
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible
Cascades in multiplex financial networks with debts of different seniority.
The optimal ratio of senior to junior debts, which is called the optimal seniority ratio, is computed for two uncorrelated Erdős-Rényi networks and it is found that if institutions erode their buffer against insolvency, then this optimalSeniority ratio rises; in other words, if default thresholds fall, then more loans should be senior.
Identifying relationship lending in the interbank market: A network approach
Relationship lending is broadly interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify the strength of a lending
This study examines the expectational stability of rational expectations equilibria (REE) under alternative Taylor rules when trend inflation is nonzero. We find that when trend inflation is high,
Understanding the fundamental dynamics of interbank networks
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages. In particular, interbank credit networks shape the
The structured backbone of temporal social ties
This work develops a method for filtering temporal network data, by defining an adequate temporal null model that allows us to identify pairs of nodes having more interactions than expected given their activities: the significant ties.
Efficient immunization strategies to prevent financial contagion
This work studies efficient immunization strategies to prevent a default contagion that might occur in a financial network and finds that counteractive immunization can efficiently reduce systemic risk without altering the riskiness of individual banks.
Network versus portfolio structure in financial systems
Abstract The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007–2009. Recently, Beale et al. [Proc. Natl. Acad. Sci. USA