Exit Spirals in Coupled Networked Markets

References

• Acemoglu D, Ozdaglar A, Siderius J, Tahbaz-Salehi A (2020) Systemic credit freezes in financial lending networks. Math. Finance Econom. 15:185–232.Crossref, Google Scholar
• Acemoglu D, Ozdaglar A, Tahbaz-Salehi A (2015) Systemic risk and stability in financial networks. Amer. Econom. Rev. 105(2):564–608.Crossref, Google Scholar
• Acharya VV, Gale D, Yorulmazer T (2011) Rollover risk and market freezes. J. Finance 66(4):1177–1209.Crossref, Google Scholar
• Adlakha S, Johari R (2013) Mean field equilibrium in dynamic games with strategic complementarities. Oper. Res. 61(4):971–989.Link, Google Scholar
• Afonso G, Kovner A, Schoar A (2013) Trading partners in the interbank lending market. Unpublished manuscript, Federal Reserve Bank of New York.Google Scholar
• Allen F, Gale D (2000) Financial contagion. J. Political Econom. 108:1–33.Crossref, Google Scholar
• Amini H, Cont R, Minca A (2016) Resilience to contagion in financial networks. Math. Finance 26:329–365.Crossref, Google Scholar
• Anand K, van Lelyveld I, Ádám Banai, Friedrich S, Garratt R, Hałaj G, Fique J, Hansen I, Jaramillo SM, Lee H, Molina-Borboa JL, Nobili S, Rajan S, Salakhova D, Silva TC, Silvestri L, de Souza SRS (2018) The missing links: A global study on uncovering financial network structures from partial data. J. Finance Stab. 35:107–119.Crossref, Google Scholar
• Anderson R, Baba C, Danielsson J, Das US, Kang H, Segoviano M (2018) Macroprudential stress tests and policies: Searching for robust and implementable frameworks. International Monetary Fund Working Paper, Washington, DC. https://www.imf.org/en/Publications/WP/Issues/2018/09/11/Macroprudential-Stress-Tests-and-Policies-Searching-for-Robust-and-Implementable-Frameworks-46218.Google Scholar
• Athreya KB, Jagers P (2012) The IMA Volumes in Mathematics and Its Applications, vol. 84 (Springer Science & Business Media, Berlin).Google Scholar
• Barabási AL, Albert R (1999) Emergence of scaling in random networks. Science 286(5439):509–512.Crossref, Google Scholar
• Blume LE (1993) The statistical mechanics of strategic interaction. Games Econom. Behav. 5(3):387–424.Crossref, Google Scholar
• Britton T, Janson S, Martin-Löf A, et al. (2007) Graphs with specified degree distributions, simple epidemics, and local vaccination strategies. Adv. in Appl. Probab. 39(4):922–948.Crossref, Google Scholar
• Brunnermeier MK, Pedersen LH (2009) Market liquidity and funding liquidity. Rev. Finance Stud. 22(6):2201–2238.Crossref, Google Scholar
• Buldyrev SV, Parshani R, Pau G, Stanley HE, Havlin S (2010) Catastrophic cascade of failures in interdependent networks. Nature 464:1025–1028.Crossref, Google Scholar
• Burkholz R, Leduc MV, Garas A, Schweitzer F (2016) Systemic risk in multiplex networks with asymmetric coupling and threshold feedback. Phys. D 323–324:64–72.Crossref, Google Scholar
• Constâncio V (2017) Macroprudential stress-tests and tools for the non-bank sector. Prepared remarks at the ESRB Annual Conference, Frankfurt am Main, September 22, 2017, European Central Bank.Google Scholar
• Cooper C, Frieze A (2004) The size of the largest strongly connected component of a random digraph with a given degree sequence. Combin. Probab. Comput. 13(03):319–337.Crossref, Google Scholar
• Copeland A, Martin A, Walker M (2014) Repo runs: Evidence from the tri-party repo market. J. Finance 69(6):2343–2380.Crossref, Google Scholar
• Craig B, Von Peter G (2014) Interbank tiering and money center banks. J. Finance Intermed. 23(3):322–347.Crossref, Google Scholar
• D’Errico M, Roukny T (2021) Compressing over-the-counter markets. Oper. Res. 69:1660–1679.Link, Google Scholar
• Di Maggio M, Kermani A, Song Z (2023) The value of trading relationships in turbulent times. J. Financial Econom. Forthcoming.Google Scholar
• Dodds PS, Watts DJ (2004) Universal behavior in a generalized model of contagion. Phys. Rev. Lett. 92(21):218701.Crossref, Google Scholar
• Donaldson JR, Piacentino G, Yu X (2022) Debt maturity in financial networks. Unpublished, Washington University in St. Louis, St. Louis, MO.Google Scholar
• Duffie D, Sun Y (2007) Existence of independent random matching. Ann. Appl. Probab. 17(1):386–419.Crossref, Google Scholar
• Eisenberg L, Noe TH (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.Link, Google Scholar
• Elliott M, Georg CP, Hazell J (2021) Systemic risk shifting in financial networks. J. Econom. Theory 191:105157.Crossref, Google Scholar
• Elliott M, Golub B, Leduc MV (2022) Supply network formation and fragility. Amer. Econom. Rev. 112(8):2701–2747.Crossref, Google Scholar
• Elliott ML, Golub B, Jackson MO (2014) Financial networks and contagion. Amer. Econom. Rev. 104(10):3115–3153.Crossref, Google Scholar
• Ellison G (1993) Learning, local interaction, and coordination. Econometrica 61(5):1047–1071.Crossref, Google Scholar
• Erol S, Vohra R (2020) Network formation and systemic risk. Preprint submitted June 1, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2546310.Google Scholar
• Farboodi M (2021) Intermediation and voluntary exposure to counterparty risk. NBER Working Paper No. 29467, NBER, Cambridge, MA.Google Scholar
• Frei C, Capponi A, Brunetti C (2022) Counterparty risk in over-the-counter markets. J. Finance Quant. Anal. 57:1058–1082.Crossref, Google Scholar
• Gabrieli S, Georg CP (2014) A network view on interbank liquidity. Discussion Paper No. 44/2014, Deutsche Bundesbank.Google Scholar
• Galeotti A, Goyal S, Jackson MO, Vega-redondo F, Yariv L (2009) Network games. Rev. Econ. Stud. 77(1):218–244.Crossref, Google Scholar
• Glasserman P, Young HP (2015) How likely is contagion in financial networks? J. Banking Finance 50:383–399.Crossref, Google Scholar
• Glassermann P, Young HP (2016) Contagion in financial networks. J. Econom. Lit. 54(3):779–831.Crossref, Google Scholar
• Golub B, Morris SE (2017) Expectations, networks, and conventions. Preprint submitted June 3, http://dx.doi.org/10.2139/ssrn.2979086.Google Scholar
• Gorton G, Metrick A (2012) Securitized banking and the run on repo. J. Financial Econom. 104(3):425–451.Crossref, Google Scholar
• Goyal S, Vega-Redondo F (2007) Structural holes in social networks. J. Econom. Theory 137:460–492.Crossref, Google Scholar
• Hendershott T, Menkveld AJ (2014) Price pressures. J. Financial Econom. 114(3):405–423.Crossref, Google Scholar
• Hollifield B, Neklyudov A, Spatt C (2017) Bid-ask spreads, trading networks, and the pricing of securitizations. Rev. Financial Stud. 30:3048–3085.Crossref, Google Scholar
• Hüser AC, Lepore C, Veraart L (2021) How do secured funding markets behave under stress? evidence from the gilt repo market. Staff Working Paper No. 910, Bank of England.Google Scholar
• Jackson MO, Yariv L (2007) Diffusion of behavior and equilibrium properties in network games. Amer. Econom. Rev. 97(2):92–98.Crossref, Google Scholar
• Krishnamurthy A, Nagel S, Orlov D (2014) Sizing up repo. J. Finance 69(6):2381–2417.Crossref, Google Scholar
• Li D, Schürhoff N (2019) Dealer networks. J. Finance 74:91–144.Crossref, Google Scholar
• Milgrom P, Roberts J (1990) Rationalizability, learning, and equilibrium in games with strategic complementarities. Econometrica 58(6):1255–1277.Crossref, Google Scholar
• Milgrom P, Shannon C (1994) Monotone comparative statics. Econometrica 62(1):157–180.Crossref, Google Scholar
• Morris S (1997) Interaction games: A unified analysis of incomplete information, local interaction and random matching. Santa Fe Institute Working Paper No. 97-08-072E.Google Scholar
• Morris S (2000) Contagion. Rev. Econom. Stud. 67(1):57–78.Crossref, Google Scholar
• Morris S, Yildiz M (2019) Crises: Equilibrium shifts and large shocks. Amer. Econom. Rev. 109(8):2823–2854.Crossref, Google Scholar
• Newman M (2010) Networks: an introduction. (Oxford University Press, Oxford, UK).Crossref, Google Scholar
• Newman ME (2002) Spread of epidemic disease on networks. Phys. Rev. E. 66(1):016128.Crossref, Google Scholar
• Perignon C, Thesmar D, Vuillemey G (2018) Wholesale funding dry-ups. J. Finance 73:575–617.Crossref, Google Scholar
• Son SW, Bizhani G, Christensen C, Grassberger P, Paczuski M (2012) Percolation theory on interdependent networks based on epidemic spreading. EPL 97(1):16006.Crossref, Google Scholar
• Zawadowski A (2013) Entangled financial systems. Rev. Financial Stud. 26(1):1291–1323.Crossref, Google Scholar