A network approach is proposed to analyze the formation of cross-holdings and anti-competitive implications. Our approach is motivated by the bilateral ar- rangement of passive ownership between Microsoft and Apple in...A network approach is proposed to analyze the formation of cross-holdings and anti-competitive implications. Our approach is motivated by the bilateral ar- rangement of passive ownership between Microsoft and Apple in 1997. We provide a complete characterization of pairwise stable cross-holdings for a model of Cournot oligopoly with a homogeneous product. Our results strengthen the competitive impli- cations of endogenous cross-holdings in Cournot oligopoly found in the literature.展开更多
Economists have put forward various proposals to deal with the growing risks of the global reserve currency system. In this paper we recommend that Asian economies hold each other＇s currencies as part of their foreig...Economists have put forward various proposals to deal with the growing risks of the global reserve currency system. In this paper we recommend that Asian economies hold each other＇s currencies as part of their foreign reserves. Different from crisis-fighting currency swap arrangements or crisis-rescuing fund mechanisms, this mechanism means that reserves wouM be held, with a regular arrangement in place and on an ongoing basis. We propose that the global reserve system shouM be pushed in the direction of diversification, which could be a transitional step toward a new single reserve system. This mechanism would not necessitate any currency being a globally accepted reserve currency but would mean that every currency carried some weight in the reserve system. Establishment of such a system would require significant development of regional bond markets and facilitation of macroeconomic surveillance among the economies.展开更多
The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment...The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.展开更多
Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,w...Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,which may lead to financial risk contagion and even systemic risk when some institutions suffer shock.In this paper,firstly,for a given shock,we prove the existence of the equilibrium clearing vector of the financial system characterized by these three typical financial networks.Then,we mathematically derive an analytical form to show how these three contagion channels jointly affect and amplify the loss of the non-default institutions,and explain how the lack of liquidity of external investment assets exacerbates the loss caused by portfolio overlapping.Finally,the influence of the characteristics of financial network on risk contagion is verified by numerical simulation.These results provide basis for understanding the financial systemic risk contagion in the real world.展开更多
文摘A network approach is proposed to analyze the formation of cross-holdings and anti-competitive implications. Our approach is motivated by the bilateral ar- rangement of passive ownership between Microsoft and Apple in 1997. We provide a complete characterization of pairwise stable cross-holdings for a model of Cournot oligopoly with a homogeneous product. Our results strengthen the competitive impli- cations of endogenous cross-holdings in Cournot oligopoly found in the literature.
文摘Economists have put forward various proposals to deal with the growing risks of the global reserve currency system. In this paper we recommend that Asian economies hold each other＇s currencies as part of their foreign reserves. Different from crisis-fighting currency swap arrangements or crisis-rescuing fund mechanisms, this mechanism means that reserves wouM be held, with a regular arrangement in place and on an ongoing basis. We propose that the global reserve system shouM be pushed in the direction of diversification, which could be a transitional step toward a new single reserve system. This mechanism would not necessitate any currency being a globally accepted reserve currency but would mean that every currency carried some weight in the reserve system. Establishment of such a system would require significant development of regional bond markets and facilitation of macroeconomic surveillance among the economies.
文摘The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.
基金partially supported by the Natural Science Foundation of Guangdong Province(No.2114050002944)The National Natural Science Foundation of China(No.71721001).
文摘Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,which may lead to financial risk contagion and even systemic risk when some institutions suffer shock.In this paper,firstly,for a given shock,we prove the existence of the equilibrium clearing vector of the financial system characterized by these three typical financial networks.Then,we mathematically derive an analytical form to show how these three contagion channels jointly affect and amplify the loss of the non-default institutions,and explain how the lack of liquidity of external investment assets exacerbates the loss caused by portfolio overlapping.Finally,the influence of the characteristics of financial network on risk contagion is verified by numerical simulation.These results provide basis for understanding the financial systemic risk contagion in the real world.
