Financial contagion through bank deleveraging : stylized facts and simulations applied to the financial crisis /
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| Author / Creator: | Tressel, Thierry, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2010. |
| Description: | 1 online resource (37 pages) : color illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/10/236 IMF working paper ; WP/10/236. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12499760 |
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| 100 | 1 | |a Tressel, Thierry, |e author. |0 http://id.loc.gov/authorities/names/nr2001031493 | |
| 245 | 1 | 0 | |a Financial contagion through bank deleveraging : |b stylized facts and simulations applied to the financial crisis / |c prepared by Thierry Tressel. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2010. | ||
| 300 | |a 1 online resource (37 pages) : |b color illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/10/236 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a The financial crisis has highlighted the importance of various channels of financial contagion across countries. This paper first presents stylized facts of international banking activities during the crisis. It then describes a simple model of financial contagion based on bank balance sheet identities and behavioral assumptions of deleveraging. Cascade effects can be triggered by bank losses or contractions of interbank lending activities. As a result of shocks on assets or on liabilities of banks, a global deleveraging of international banking activities can occur. Simple simulations are presented to illustrate the use of the model and the relative importance of contagion channels, relying on bank losses of advanced countries' banking systems during the financial crisis to calibrate the shock. The outcome of the simulations is compared with the deleveraging observed during the crisis suggesting that leverage is a major determinant of financial contagion. | ||
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Foreign Claims of Large International Banks; II. Literature; III. Stylized facts: international banks during the crisis; A. Data; B. Stylized Facts; 2. Foreign Claims of International Banks by Type of Claims; 3. Foreign Liabilities to International Bankds by Region; 4. Foreign Claims by Host Region and Home Country of International Banks; 5. Interbank market gross exposures; 1. Network of Bilateral Country Gross Exposures; 2. Capital to Asset Ratio of Large International Banks. | |
| 505 | 8 | |a 3. Change in Foreign Claims by Type and SectorsIV. Model of financial contagion; Asset Shocks; Amplification through Interbank Lending and Fire Sales; 6. Effect of an Asset Shock and a Funding Shock on Bank Balance Sheet; 7. The Complete Deleveraging Process; Deleveraging Assumptions; V. Simulated and actual deleveraging during the financial crisis; A. Scenario 1: Cross-border Contagion through Deleveraging; 4. Deleveraging by Nationality of Banks; 5. Deleveraging from Host Country Perspective; B. Scenario 2: Amplification of the Shock through Interbank Markets. | |
| 505 | 8 | |a 6. Losses of International Banks7. Reduction in Foreign Liabilities (Scenario 2); 8. Predicted Reduction in Interbank Claims; 9. Reduction in Foreign Liabilities (Scenario 3); VI. Conclusion; References; Footnotes. | |
| 650 | 0 | |a Financial crises. | |
| 650 | 0 | |a Financial leverage. |0 http://id.loc.gov/authorities/subjects/sh94002418 | |
| 650 | 6 | |a Effet de levier. | |
| 650 | 7 | |a Financial crises. |2 fast |0 (OCoLC)fst00924607 | |
| 650 | 7 | |a Financial leverage. |2 fast |0 (OCoLC)fst00924716 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Tressel, Thierry. |t Financial Contagion through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis. |d Washington : International Monetary Fund, ©2010 |z 9781455209361 |
| 830 | 0 | |a IMF working paper ; |v WP/10/236. |0 http://id.loc.gov/authorities/names/no89010263 | |
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