TAILIEUCHUNG - Contagion in financial networks by Prasanna Gai and Sujit Kapadia

The close link between the financial cycle and financial crises underlies the fourth empirical feature: it is possible to measure the build-up of risk of financial crises in real time with fairly good accuracy. Specifically, the most promising leading indicators of financial crises are based on simultaneous positive deviations (or “gaps”) of the ratio of (private sector) credit-to- GDP and asset prices, especially property prices, from historical norms (Borio and Drehmann (2009), Alessi and Detken (2009)). 3 One can think of the credit gap as a rough measure of leverage in the economy, providing an indirect indication. | Working Paper No. 383 Contagion in financial networks Prasanna Gai and Sujit Kapadia March 2010 BANK OF ENGLAND Working Paper No. 383 Contagion in financial networks Prasanna Gai 1 and Sujit Kapadia 2 Abstract This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks changes in network structure and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency while the probability of contagion may be low the effects can be extremely widespread when problems occur. And we suggest why the resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness. Key words Contagion network models systemic risk liquidity risk financial crises. JEL classification D85 G01 G21. 1 Australian National University and Bank of England. Email 2 Bank of England. Email The views expressed in this paper are those of the authors and not necessarily those of the Bank of England. The paper is forthcoming in Proceedings of the Royal Society A. We thank Emma Mattingley Nick Moore Barry Willis and particularly Jason Dowson for excellent research assistance. We are also grateful to Kartik Anand Fabio Castiglionesi Geoff Coppins Avinash Dixit John Driffill Sanjeev Goyal Andy Haldane Simon Hall Matteo Marsili Robert May Marcus Miller Emma Murphy Filipa Sa Nancy Stokey Merxe Tudela Jing Yang three anonymous referees and seminar participants at the Bank of England the University of Oxford the University of Warwick research workshop and conference on World Economy and Global Finance Warwick 11-15 July 2007 the UniCredit Group Conference on Banking and Finance Span and Scope of Banks Stability and Regulation Naples 17-18 December 2007 the 2008 Royal Economic .

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