13:00 horas, Sala Asamblea, 4to piso, Torre Ingeniería Industrial (Beauchef 851, Santiago)
El Centro de Economía Aplicada (CEA) y el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Públicas (MIPP) de la Universidad de Chile invitan a su ciclo de seminarios programados para el segundo semestre del año.
Invitado: Daniel Ladley, Associate Profesor University of Leicester
Ladley presentará el trabajo “Interbank relations during the Panic of 1873″
Understanding the susceptibility of financial systems to systemic risk, and in particular the contribution of inter-bank credit relationships, has been a key research question post-crisis. With a few notable exceptions, however, information concerning interbank relationships is difficult to observe. In this paper we circumvent this constraint by focusing on a historical system in which it is possible to estimate these relationships. We use a unique approach to simultaneously derive the interbank network and the utility functions of banks during this period. Analysis of this network shows that direct counterparty risk in this period is small – in agreement with historical observation. Losses from failures are secondary in significance to liquidity shortages caused by panicked deposit withdrawals. Comparison of our network and post-crisis data allows us to explain changes in bank balance sheets and to correctly predict which banks panic in response to the crisis. The results increase our understanding of this historical crisis whilst simultaneously suggesting insights into the study of systemic risk in modern financial systems.
Más información: Olga Barrera / email@example.com