Systemic liquidity contagion in the European interbank market

  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},
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… 
Introduction to the special issue on the 24th annual Workshop on Economic science with Heterogeneous Interacting Agents, London, 2019 (WEHIA 2019)
Economics is traditionally divided into microeconomics, which studies the behavior of individual agents (such as a firm), and macroeconomics, which studies the behavior of an economy at the aggregate
Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions
The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the
A New Multilayer Network Construction via Tensor Learning
This paper proposes a new methodology based on Tucker tensor autoregression in order to build a multilayer network directly from data and shows how the resulting visualization is a useful tool for risk managers depicting dependency asymmetries between different risk factors and accounting for delayed cross dependencies.


Can banks default overnight? Modelling endogenous contagion on the O/N interbank market
We propose a new model of the liquidity-driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system
Too Interconnected to Fail: A Survey of the Interbank Networks Literature
The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the
Contagion in the Interbank Network: An Epidemiological Approach
This paper analyses the importance of individual bank-specific factors on financial stability. First, we use a novel method to model the spreading of the contagion in the interbank network by
Epidemics of liquidity shortages in interbank markets
Leveraging the network: A stress-test framework based on DebtRank
It is found that second-round and third-round effects dominate first- round effects, therefore suggesting that most current stress-test frameworks might lead to a severe underestimation of systemic risk.
Network reconstruction via density sampling
The core technique for reconstructing both the topology and the link weights of the unknown network in detail is introduced and achieves a remarkable accuracy and is very robust with respect to the sampled subsets, thus representing a reliable practical tool whenever the available topological information is restricted to small portions of nodes.