The recent global financial crisis has revealed that borrowing and lending among banks and other financial intermediaries makes it possible for a shock to a single bank to spread through the entire system. One of the main sources of this chain-reaction is that financial intermediaries have come to indirectly hold many types of assets. Against this background, to provide a stylized representation of the interbank lending market, the present paper constructs a model in which banks’ liabilities form a core–periphery network. The model is then employed to simulate contagion in the network in the wake of the hypothesized insolvency of one of the banks. The main contributions of the analysis are as follows. First, the simulation shows that when asset prices declines as contagion spreads, the degree of contagion in response to an insolvency is significantly greater than when prices are assumed to be exogenous. Second, the core–periphery network analysis shows that insolvency increases non-monotonically in the strength of the links between core banks.

中文翻译：

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核心-外围网络中的金融传染与实体经济

最近的全球金融危机表明，银行和其他金融中介机构之间的借贷行为可能会使单个银行受到的冲击波及整个系统。这种连锁反应的主要来源之一是金融中介机构间接持有许多类型的资产。在这种背景下，为了提供银行间贷款市场的风格化表示，本文构建了一个模型，在该模型中，银行的债务构成了核心－外围网络。然后，在假设其中一家银行破产后，使用该模型来模拟网络中的传染。分析的主要贡献如下。首先，模拟表明，当资产价格随着传染病蔓延而下降时，与破产有关的传染程度大大高于假定价格为外生因素时的传染程度。其次，核心－外围网络分析表明，破产能力在核心银行之间的联系强度上非单调增加。