This thesis explores the linkages between interbank markets and financial stability, primarily through the application of tools from network theory. Recognising that interconnectedness played a large role in exacerbating the 2007-2008 global financial crisis, each of the three chapters contained herein aims at discerning how systemic risks were allowed to develop and identifies how they might be mitigated. Against this background, financial regulation and policy play a key role in the thesis. Each chapter develops a novel theoretical framework in which interconnections between banks play a front-and-centre role in driving both individual bank behaviour and dynamics at the system level. Chapter 1 introduces a variety of stylized networks into an RBC-DSGE model in order to understand how poorly functioning interbank markets can impair the transmission mechanism of monetary policy and engender a credit crunch. Chapter 2 establishes a causal link between various topological properties of complex interbank networks and the contagion profiles of various shock specifications. Finally, chapter 3 embeds a novel Agent-Based Model into a multilayer network (wherein banks are interconnected through direct exposures and overlapping securities portfolios) in order to study the interplay of counterparty and liquidity risks as the crisis deepened.
|la date de réponse||6 sept. 2018|
|Sponsors||ARC (Actions de recherche concentrées)|
|Superviseur||Jean-Yves Gnabo (Promoteur), Sophie Béreau (Copromoteur), Jean Charles Delvenne (Jury), Isabelle LINDEN (Président), OSCAR BERNAL DIAZ (Jury) & Camille Cornand (Jury)|