Replication data for: Financial Networks and Contagion

Principal Investigator(s): View help for Principal Investigator(s) Matthew Elliott; Benjamin Golub; Matthew O. Jackson

Version: View help for Version V1

Name	File Type	Size	Last Modified
AdditionalSimulationOutput-Dec-15-2012.xlsx	application/vnd.openxmlformats-officedocument.spreadsheetml.sheet	548.2 KB	10/11/2019 03:31:PM
AdditionalSimulationOutput-Dec-5-2012.xlsx	application/vnd.openxmlformats-officedocument.spreadsheetml.sheet	102.1 KB	10/11/2019 03:31:PM
Amatrix.m	text/plain	235 bytes	10/11/2019 03:31:PM
BIS-table-9.pdf	application/pdf	1.9 MB	10/11/2019 03:31:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 03:31:PM
NewSimulationsOutput-sept-17-2012-WithFirstFailureCounts.xlsx	application/vnd.openxmlformats-officedocument.spreadsheetml.sheet	340.9 KB	10/11/2019 03:31:PM
_readme---guide-to-files.pdf	application/pdf	113.4 KB	10/11/2019 03:31:PM
basic_simulations.m	text/plain	6.8 KB	10/11/2019 03:31:PM
cascades_europe_aug_28_2014.m	text/x-fortran	2.2 KB	10/11/2019 03:31:PM
sim_dec_12_homophily_correlated.m	text/x-fortran	8.3 KB	10/11/2019 03:31:PM

Project Citation:

Elliott, Matthew, Golub, Benjamin, and Jackson, Matthew O. Replication data for: Financial Networks and Contagion. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112694V1

Project Description

Summary: We study cascades of failures in a network of interdependent financial organizations: how discontinuous changes in asset values (e.g., defaults and shutdowns) trigger further failures, and how this depends on network structure. Integration (greater dependence on counterparties) and diversification (more counterparties per organization) have different, nonmonotonic effects on the extent of cascades. Diversification connects the network initially, permitting cascades to travel; but as it increases further, organizations are better insured against one another's failures. Integration also faces trade-offs: increased dependence on other organizations versus less sensitivity to own investments. Finally, we illustrate the model with data on European debt cross-holdings.

Scope of Project

JEL Classification:
      D85 Network Formation and Analysis: Theory
      F34 International Lending and Debt Problems
      F65 Economic Impacts of Globalization: Finance
      G15 International Financial Markets
      G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
      G33 Bankruptcy; Liquidation
      H63 National Debt; Debt Management; Sovereign Debt

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V1 [2019-10-11]

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