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Bank Networks and Financial Contagion.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Bank Networks and Financial Contagion./
Author:	He, Jieshuang.
Description:	1 online resource (100 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Contained By:	Dissertation Abstracts International78-12A(E).
Subject:	Economics. -
Online resource:	click for full text (PQDT)
ISBN:	9780355069624

Bank Networks and Financial Contagion.
He, Jieshuang.

Bank Networks and Financial Contagion. - 1 online resource (100 pages)

Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.

Thesis (Ph.D.)--Indiana University, 2017.

Includes bibliographical references

In this thesis, I investigate financial networks and contagion theoretically and empirically. The main contribution of the thesis is to develop a model to study two related questions: how bank decisions to form connections depend on fundamentals; and how financial stability depends on bank network structure. In my model, banks are connected through two layers of networks: interbank debts and banks' common investments in non-financial firms. These layers of interconnections are incentivized by diversified investments when banks maximize their expected equity values according to mean-variance rules. I show that the topologies of the two network layers interact with each other. Comparative statics of a small number of banks indicate that, in equilibrium, as banks become less risk averse, they tend to issue more debts and form more links within the banking sector. Furthermore, I conduct numerical computations for bank default probabilities in a circle network and a more connected network. The results demonstrate that increased bank interconnectedness and common asset holdings significantly reduce systemic stability. The second contribution of the thesis is to study financial network structure during banking panics. I use annual bank-level balance sheets data of Pennsylvania state banks from 1892 to 1893 to empirically analyze the banking network structures before the banking panic of 1893. I display stylized facts and visualizations of the interbank deposit network and banks' common exposure to national banks and firms in the railroad industry. Different types of centrality measures are computed to rank importantness of banks in the financial network. I found that financial institutions' indirect banking network through common deposit in national banks had much higher density compared to that of the direct interbank deposit network. In the year 1892, the most systemic important banks in the direct interbank deposit network were not precisely consistent with the most systemic important banks in the indirect banking network. Therefore, examining multiple types of connections, or multiple network layers, is critical to estimate systemic risk of the banking sector.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355069624Subjects--Topical Terms:

555568
Economics.
Index Terms--Genre/Form:

554714
Electronic books.

Bank Networks and Financial Contagion.
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100 1 $a He, Jieshuang. $3 1194196
245 1 0 $a Bank Networks and Financial Contagion.
264 0 $c 2017
300 $a 1 online resource (100 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Advisers: Todd B. Walker; Robert A. Becker.
502 $a Thesis (Ph.D.)--Indiana University, 2017.
504 $a Includes bibliographical references
520 $a In this thesis, I investigate financial networks and contagion theoretically and empirically. The main contribution of the thesis is to develop a model to study two related questions: how bank decisions to form connections depend on fundamentals; and how financial stability depends on bank network structure. In my model, banks are connected through two layers of networks: interbank debts and banks' common investments in non-financial firms. These layers of interconnections are incentivized by diversified investments when banks maximize their expected equity values according to mean-variance rules. I show that the topologies of the two network layers interact with each other. Comparative statics of a small number of banks indicate that, in equilibrium, as banks become less risk averse, they tend to issue more debts and form more links within the banking sector. Furthermore, I conduct numerical computations for bank default probabilities in a circle network and a more connected network. The results demonstrate that increased bank interconnectedness and common asset holdings significantly reduce systemic stability. The second contribution of the thesis is to study financial network structure during banking panics. I use annual bank-level balance sheets data of Pennsylvania state banks from 1892 to 1893 to empirically analyze the banking network structures before the banking panic of 1893. I display stylized facts and visualizations of the interbank deposit network and banks' common exposure to national banks and firms in the railroad industry. Different types of centrality measures are computed to rank importantness of banks in the financial network. I found that financial institutions' indirect banking network through common deposit in national banks had much higher density compared to that of the direct interbank deposit network. In the year 1892, the most systemic important banks in the direct interbank deposit network were not precisely consistent with the most systemic important banks in the indirect banking network. Therefore, examining multiple types of connections, or multiple network layers, is critical to estimate systemic risk of the banking sector.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Economics. $3 555568
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655 7 $a Electronic books. $2 local $3 554714
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710 2 $a Indiana University. $b Economics. $3 1179085
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