Systemic liquidity contagion in the European interbank market

@article{Macchiati2021SystemicLC,
  title={Systemic liquidity contagion in the European interbank market},
  author={Valentina Macchiati and Giuseppe Brandi and Tiziana Di Matteo and Daniela Paolotti and Guido Caldarelli and Giulio Cimini},
  journal={Journal of Economic Interaction and Coordination},
  year={2021}
}
Systemic liquidity risk, defined by the International Monetary Fund as “the risk of simultaneous liquidity difficulties at multiple financial institutions,” is a key topic in financial stability studies and macroprudential policy-making. In this context, the complex web of interconnections of the interbank market plays the crucial role of allowing funding liquidity shortages to propagate between financial institutions. Here, we introduce a simple yet effective model of the interbank market in… 
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