多层金融网络中的实体交付义务
Obligations with Physical Delivery in a Multi-Layered Financial Network
摘要：
本文提供了一个通用的框架，用于建模金融传染的系统中的债务在多个非流动性资产（例如，货币）。通过这样做，我们开发了一个多层次的金融网络，扩展了Eisenberg和Noe（2001）的单一网络。特别是，我们开发了一个金融传染模型与消防销售，允许机构购买和出售资产，以支付他们的负债在不同的资产，并作为效用最大化。我们证明了，在标准假设下，没有市场冲击，均衡投资组合持有存在，是唯一的。然而，在考虑市场冲击的情况下，我们证明了存在均衡的投资组合持有和市场价格，这使得多层次的金融体系清晰。但总的来说，这些清算解决方案并不是独一无二的。我们通过考虑tâtonnement过程来扩展这个结果，以找到唯一达到的平衡。相对于初始冲击而言，所达到的均衡不一定是连续的;这些不连续点与那些使金融危机成为系统性危机的压力相匹配。我们进一步提供支付规则和效用函数满足这些存在性和唯一性结果的必要条件的数学公式。我们证明了我们的模型的价值，通过说明性的数值案例研究。特别是，我们研究了一个反事实的情况下，希腊重新制定德拉克马从欧洲银行管理局的数据集。
英文摘要：
This paper provides a general framework for modeling financial contagion in a system with obligations in multiple illiquid assets (e.g., currencies). In so doing, we develop a multi-layered financial network that extends the single network of Eisenberg and Noe (2001). In particular, we develop a financial contagion model with fire sales that allows institutions to both buy and sell assets to cover their liabilities in the different assets and act as utility maximizers. We prove that, under standard assumptions and without market impacts, equilibrium portfolio holdings exist and are unique. However, with market impacts, we prove that equilibrium portfolio holdings and market prices exist which clear the multi-layered financial system. In general, though, these clearing solutions are not unique. We extend this result by considering the tâtonnement process to find the unique attained equilibrium. The attained equilibrium need not be continuous with respect to the initial shock; these points of discontinuity match those stresses in which a financial crisis becomes a systemic crisis. We further provide mathematical formulations for payment rules and utility functions satisfying the necessary conditions for these existence and uniqueness results. We demonstrate the value of our model through illustrative numerical case studies. In particular, we study a counterfactual scenario on the event that Greece re-instituted the drachma on a dataset from the European Banking Authority.
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