Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes
研究了金融网络结构不确定性导致的传染和市场冻结，发现大债权人规模会显著影响冻结严重程度，并检验了央行的缓解政策。
This paper studies contagion and market freezes caused by uncertainty in financial network structures. Our model demonstrates that in a financial system where financial institutions are interconnected, a negative shock to an individual financial institution could spread to other institutions, causing market freezes because of creditors' uncertainty about the financial network structure. Our model also reveals that when both a large creditor and a continuum of small creditors are present, the size of the large creditor will affect the severity of market freezes substantially. Moreover, our model is used to examine central bank policies to alleviate market freezes.