The Influence of Information Diffusion on Interbank Risk Contagion

Complexity ◽

10.1155/2021/8887518 ◽

2021 ◽

Vol 2021 ◽

pp. 1-21

Author(s):

Zhinan Li ◽

Peilong Shen ◽

Xiaoyuan Liu

Keyword(s):

Asymmetric Information ◽

Information Diffusion ◽

Interbank Market ◽

Computational Simulations ◽

Liquidity Trap ◽

Rollover Risk ◽

Influencing Mechanism ◽

Behavioral Rules

In this paper, the stylized features of incomplete and asymmetric information in the interbank market leading to banks’ precautionary behaviors are introduced. Based on banks’ stylized behavioral rules, the influencing mechanism of information diffusion on interbank risk contagion is analyzed, and how the existence of information diffusion and banks’ information-obtaining ability influence the interbank risk contagion is verified through computational simulations. The results show that information diffusion can significantly accelerate the process of and magnify the extent and probability of interbank risk contagion, and improving banks’ information-obtaining ability could lower the speed and extent of the interbank risk contagion. This paper also finds and explains some special phenomena of rollover risk contagion when information diffusion exists: the saltatory risk contagion, the circular liquidity trap, and the risk discovery of information diffusion.

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LEARNING FROM THE EXPECTATIONS OF OTHERS

Macroeconomic Dynamics ◽

10.1017/s1365100507070186 ◽

2008 ◽

Vol 12 (3) ◽

pp. 345-377 ◽

Cited By ~ 7

Author(s):

JIM GRANATO ◽

ERAN A. GUSE ◽

M. C. SUNNY WONG

Keyword(s):

Asymmetric Information ◽

Diffusion Process ◽

Adaptive Learning ◽

Information Diffusion ◽

Multiple Equilibria ◽

Forecast Error ◽

Mean Square ◽

Cobweb Model ◽

Boomerang Effect ◽

Forecast Efficiency

This paper explores the equilibrium properties of boundedly rational heterogeneous agents under adaptive learning. In a modified cobweb model with a Stackelberg framework, there is an asymmetric information diffusion process from leading to following firms. It turns out that the conditions for at least one learnable equilibrium are similar to those under homogeneous expectations. However, the introduction of information diffusion leads to the possibility of multiple equilibria and can expand the parameter space of potential learnable equilibria. In addition, the inability to correctly interpret expectations will cause a “boomerang effect” on the forecasts and forecast efficiency of the leading firms. The leading firms' mean square forecast error can be larger than that of following firms if the proportion of following firms is sufficiently large.

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Asymmetric information diffusion via gossiping on static and dynamic networks

49th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2010.5717918 ◽

2010 ◽

Cited By ~ 8

Author(s):

Mehmet Ercan Yildiz ◽

Anna Scaglione ◽

Asuman Ozdaglar

Keyword(s):

Asymmetric Information ◽

Information Diffusion ◽

Dynamic Networks

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The Role of Counterparty Risk and Asymmetric Information in the Interbank Market

SSRN Electronic Journal ◽

10.2139/ssrn.2922357 ◽

2017 ◽

Author(s):

Giuseppe Cappelletti ◽

Giovanni Guazzarotti

Keyword(s):

Asymmetric Information ◽

Counterparty Risk ◽

Interbank Market

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Interbank Market Integration under Asymmetric Information

Review of Financial Studies ◽

10.1093/rfs/hhi001 ◽

2004 ◽

Vol 18 (2) ◽

pp. 459-490 ◽

Cited By ~ 118

Author(s):

Xavier Freixas ◽

Cornelia Holthausen

Keyword(s):

Asymmetric Information ◽

Market Integration ◽

Interbank Market

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Interbank Market Integration Under Asymmetric Information

SSRN Electronic Journal ◽

10.2139/ssrn.278247 ◽

2001 ◽

Author(s):

Xavier Freixas ◽

Cornelia Holthausen

Keyword(s):

Asymmetric Information ◽

Market Integration ◽

Interbank Market

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Influencing Mechanism of Interparental Relationship and Parent--Child Relationship on Adolescents

PsycEXTRA Dataset ◽

10.1037/e557852014-001 ◽

2014 ◽

Author(s):

Linyuan Deng ◽

Xiaoyi Fang ◽

Yongxin Wu

Keyword(s):

Parent Child Relationship ◽

Influencing Mechanism ◽

Child Relationship ◽

Interparental Relationship ◽

Parent Child

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Asymmetric Information Weighting in Belief Updating and the Effect on Mid-Sequence Evaluation

PsycEXTRA Dataset ◽

10.1037/e683272011-092 ◽

1996 ◽

Author(s):

Gal Zauberman ◽

Dan Ariely

Keyword(s):

Asymmetric Information ◽

Belief Updating

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AGENCY PROBLEM DALAM PENERAPAN PEMBIAYAAN AKAD MUDHARABAH PADA PERBANKAN SYARIAH

ALQALAM ◽

10.32678/alqalam.v33i1.384 ◽

2016 ◽

Vol 33 (1) ◽

pp. 46

Author(s):

Aswadi Lubis

Keyword(s):

High Risk ◽

Asymmetric Information ◽

Human Resources ◽

Moral Hazard ◽

Adverse Selection ◽

Agency Problem ◽

Agency Problems ◽

Islamic Banking ◽

The Public

The purpose of writing this article is to describe the agency problems that arise in the application of the financing with mudharabah on Islamic banking. In this article the author describes the use of the theory of financing, asymetri information, agency problems inside of financing. The conclusion of this article is that the financing is asymmetric information problems will arise, both adverse selection and moral hazard. The high risk of prospective managers (mudharib) for their moral hazard and lack of readiness of human resources in Islamic banking is among the factors that make the composition of the distribution of funds to the public more in the form of financing. The limitations that can be done to optimize this financing is among other things; owners of capital supervision (monitoring) and the customers themselves place restrictions on its actions (bonding).

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