| 来源类型 | Conference or Workshop Item (Paper)
|
| 规范类型 | 其他
|
| Matching and Resilience in Financial Networks. |
| Leduc MV; Thurner S
|
| 发表日期 | 2016
|
| 出处 | 7th Annual Financial Market Liquidity Conference, 17-18 November 2016, Budapest, Hungary
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show how a regulator can use information ab out the financial network to devise a transaction-specific tax based on a network centrality measure that captures systemic importance. Since different transactions have different impact on creating systemic risk, they are taxed differently. We call this tax a Systemic Risk Tax (SRT). We show that this SRT induces a unique equilibrium matching of lenders and borrowers that is systemic-risk efficient, i.e. it minimizes systemic risk given a certain transaction volume. On the other hand, we show that without this SRT multiple equilibrium matchings can exist and are generally inefficient. This allows the regulator to effectively `rewire' the equilibrium interbank network so as to make it more resilient to insolvency cascades, without sacrificing transaction volume. Moreover, we show that a standard financial transaction tax (e.g. a Tobin-like tax) has no impact on reshaping the equilibrium financial network because it taxes all transactions indiscriminately. A Tobin-like tax is indeed shown to have a limited effect on reducing systemic risk while it decreases transaction volume. |
| 主题 | Advanced Systems Analysis (ASA)
|
| URL | http://pure.iiasa.ac.at/id/eprint/14094/
|
| 来源智库 | International Institute for Applied Systems Analysis (Austria)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/132661
|
推荐引用方式
GB/T 7714 |
Leduc MV,Thurner S. Matching and Resilience in Financial Networks.. 2016.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
