Calibrating limits for large interbank exposures from a system-wide perspective

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• 作者：Enrique Batiz-Zuk^a ; ^{ebatiz@banxico.org.mx} ; Fabrizio Ló ; pez-Gallo^a ; ^{flopezd@banxico.org.mx} ; Serafí ; n Martí ; nez-Jaramillo^a ; ^{smartin@banxico.org.mx} ; Juan Pablo Soló ; rzano-Margain^b ; ^{jpsolorz@sloan.mit.edu}
• 关键词：Systemic risk ; Financial contagion ; Network models ; Large exposures limit ; Systemically important banks (SIBs)
• 刊名：Journal of Financial Stability
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：27
• 期：Complete
• 页码：198-216
• 全文大小：4487 K
• 卷排序：27

文摘

We assess the benefits of tighter limits on interbank exposures to reduce contagion risk. We introduce novel rules to model banks’ behavioural responses. For well-capitalized banks, limits reduce contagion risk and aggregate losses. Under stress conditions, the effects of the limits depend on banks’ reactions. Banks’ behavioural responses to tighter limits might increase contagion risk.