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Replication data for: Financial Networks and Contagion

Version
V0
Resource Type
Dataset
Creator
  • Elliott, Matthew
  • Golub, Benjamin
  • Jackson, Matthew O.
Publication Date
2014-10-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.104.10.3115 (Text)
Publications
  • Elliott, Matthew, Benjamin Golub, and Matthew O. Jackson. “Financial Networks and Contagion.” American Economic Review 104, no. 10 (October 2014): 3115–53. https://doi.org/10.1257/aer.104.10.3115.
    • ID: 10.1257/aer.104.10.3115 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Elliott, Matthew; Golub, Benjamin; Jackson, Matthew O. (2014): Replication data for: Financial Networks and Contagion. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112694