Systemic risk in banking, fire sales, and macroeconomic disasters
(2024)
Journal Article
Bougheas, S., Harvey, D. I., Kirman, A., & Nelson, D. (2024). Systemic risk in banking, fire sales, and macroeconomic disasters. Journal of Economic Dynamics and Control, 168, Article 104975. https://doi.org/10.1016/j.jedc.2024.104975
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks wit... Read More about Systemic risk in banking, fire sales, and macroeconomic disasters.