Μικροοικονομικά υποδείγματα μετάδοσης χρηματοπιστωτικών κρίσεων
KeywordsΡευστότητα ; Μαζική απόσυρση καταθέσεων ; Πρώτη βέλτιστη κατανομή ; Ολοκληρωμένο διατραπεζικό δίκτυο ; Μη ολοκληρωμένο διατραπεζικό δίκτυο
This thesis is an overview of fundamental microeconomics models on financial contagion. At the outset, we provide the basic concepts accompanied by appropriate examples from recent crises. In the second chapter, we invoke the related literature on liquidity creation, presenting the basic models and their extensions. In addition, we specifically comment and highlight the problems of maximum liquidity and of bank runs, while we suggest some ways of dealing with the latter. In the third chapter, we make use of the standard model, slightly modified to accommodate contagion through interlinkages. Typically, we introduce a perfectly competitive banking sector where banks offer risk-sharing contracts that maximize depositors’ ex ante expected utility, subject to a zero-profit constraint. We illustrate that small shocks may lead to large liquidity effects within the banking system and special role to this outcome play the inter-regional cross holdings of deposits. Through some examples, we illustrate how a liquidity shock is disseminated within a complete as well as within an incomplete interbank network. Finally, we conclude and present suggestions for further research.