标题： 银行间市场中的流动性短缺疫情 显示英文标题

标题： Epidemics of Liquidity Shortages in Interbank Markets

摘要： 从流动性冲击中产生的金融传染最近被归因于银行间贷款市场系统性风险的主要驱动因素。 在标准流行病学分 compartment 模型的基础上，本文我们开发了一个 EDB（暴露-困境-破产）模型，用于描述银行之间流动性冲击的传播动态，并利用银行间存款电子市场数据对其进行验证。 我们表明，在2007/2008年全球金融危机初期，银行间网络对流动性传染非常敏感，随后银行采用的微观审慎和流动性囤积政策增加了网络对系统性风险的弹性——但同时也带来了市场流动性枯竭的不良副作用。 最后，我们表明，银行的个体风险性通过其网络中心性而非其参与市场的情况更能被捕捉，同时还涉及目前备受争议的“过于相互关联而不能失败”的概念。 显示英文摘要

摘要： Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation between banks, and validate it on electronic market for interbank deposits data. We show that the interbank network was highly susceptible to liquidity contagion at the beginning of the 2007/2008 global financial crisis, and that the subsequent micro-prudential and liquidity hoarding policies adopted by banks increased the network resilience to systemic risk---yet with the undesired side effect of drying out liquidity from the market. We finally show that the individual riskiness of a bank is better captured by its network centrality than by its participation to the market, along with the currently debated concept of "too interconnected to fail".