1,909
Views
66
CrossRef citations to date
0
Altmetric
Research Papers

Elimination of systemic risk in financial networks by means of a systemic risk transaction tax

&
Pages 1599-1613 | Received 23 Sep 2014, Accepted 28 Jan 2016, Published online: 11 Apr 2016

References

  • Acemoglu, D., Ozdaglar, A. and Tahbaz-Salehi, A., Systemic Risk and Stability in Financial Networks. Technical report, 2013 (National Bureau of Economic Research).
  • Acharya, V., Pedersen, L., Philippon, T. and Richardson, M., Regulating systemic risk, How to Repair a Failed System: Restoring Financial Stability, 2009 (John Wiley & Sons: Hoboken, NJ).
  • Acharya, V., Pedersen, L., Philippon, T. and Richardson, M., Measuring Systemic Risk. Technical report, CEPR Discussion Papers, 2012. Available at SSRN: http://ssrn.com/abstract=1573171.
  • Acharya, V., Pedersen, L., Philippon, T. and Richardson, T., Taxing systemic risk. In Handbook on Systemic Risk, edited by J. Fouque and J. Langsam, pp. 226–246, 2013 (Cambridge University Press: New York).
  • Adrian, T. and Brunnermeier, M., CoVaR. Technical report, 2011 (National Bureau of Economic Research).
  • Adrian, T. and Shin, H.S., Liquidity and Leverage. Technical report, 328, 2008 (Federal Reserve Bank of New York).
  • Aikman, D., Haldane, A.G. and Kapadia, S., Operationalising a macroprudential regime: Goals, tools and open issues. Financial Stab. J. Bank Spain, 2013, 24, 10–30.
  • Aymanns, C. and Farmer, D., The dynamics of the leverage cycle. J. Econ. Dyn. Control, 2015, 50, 155–179.
  • Balin, B.J., Basel I, Basel II, and emerging markets: A nontechnical analysis. Available at SSRN 1477712, 2008.
  • Bank for International Settlements, International Convergence of Capital Measurement and Capital Standards, 1988 (Bank for International Settlements: Basel).
  • Bank for International Settlements, International Convergence of Capital Measurement and Capital Standards: A Revised Framework Comprehensive Version, 2006 (Bank for International Settlements: Basel).
  • Bank for International Settlements, Basel III: A Global Regulatory Framework for more Resilient Banks and Banking Systems, 2010 (Bank for International Settlements: Basel).
  • Bank of England, Instruments of Macroprudential Policy. Technical report, 2011 (Bank of England).
  • Bank of England, The Financial Policy Committee’s Powers To Supplement Capital Requirements: A Draft Policy Statement. Technical report, 2013 (Bank of England).
  • Barrat, A., Barthélemy, M., Pastor-Satorras, R. and Vespignani, A., The architecture of complex weighted networks. Proc. Nat. Acad. Sci. USA, 2004, 101(11), 3747–3752.
  • Battiston, S., Delli Gatti, D., Gallegati, M., Greenwald, B. and Stiglitz, J.E., Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk. J. Econ. Dyn. Control, 2012a, 36(8), 1121–1141.
  • Battiston, S., Puliga, M., Kaushik, R., Tasca, P. and Caldarelli, G., DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk, Sci. Rep. 2012b, 2(541), 1–6.
  • Bech, M.L. and Atalay, E., The topology of the federal funds market. Phys. A: Stat. Mech. Appl., 2010, 389(22), 5223–5246.
  • Billio, M., Getmansky, M., Lo, A.W. and Pelizzon, L., Econometric measures of connectedness and systemic risk in the finance and insurance sectors. J. Financial Econ., 2012, 104(3), 535–559.
  • Boss, M., Elsinger, H., Summer, M. and Thurner, S., The network topology of the interbank market. Quant. Finance, 2005, 4, 677–684.
  • Boss, M., Summer, M. and Thurner, S., Contagion flow through banking networks. Lecture Notes in Computer Science, 2004, 3038, 1070–1077.
  • Brownlees, C.T. and Engle, R.F., Volatility, correlation and tails for systemic risk measurement. Available at SSRN 1611229, 2012.
  • Brunnermeier, M. and Pedersen, L., Market liquidity and funding liquidity. Rev. Financial Stud., 2009, 22(6), 2201–2238.
  • Caballero, J., Banking crises and financial integration, IDB Working Paper Series No. IDB-WP-364, 2012.
  • Caccioli, F., Bouchaud, J.P. and Farmer, J.D., Impact-adjusted valuation and the criticality of leverage. Risk 2012, 25(12), 74–77.
  • Caccioli, F., Farmer, J.D., Foti, N. and Rockmore, D., Overlapping portfolios, contagion, and financial stability. J. Econ. Dyn. Control, 2015, 51, 50–63.
  • Cajueiro, D.O., Tabak, B.M. and Andrade, R.F., Fluctuations in interbank network dynamics. Phys. Rev. E 2009, 79(3), 037101.
  • Cont, R., Moussa, A. and Santos, E., Network structure and systemic risk in banking systems. In Handbook of Systemic Risk, edited by J.P. Fouque and J.A. Langsam, pp. 327–368, 2013 (Cambridge University Press: New York).
  • Cooley, T., Philippon, T., Acharya, V., Pedersen, L. and Richardson, M., Regulating systemic risk. In Restoring Financial Stability: How to Repair a Failed System, edited by V. Acharya and M.P. Richardson, pp. 277–303, 2009 (John Wiley & Sons: Hoboken, NJ).
  • Davies, R. and Tracey, B., Too big to be efficient? The impact of implicit subsidies on estimates of scale economies for banks. J. Money Credit Banking, 2014, 46(s1), 219–253.
  • De Bandt, O. and Hartmann, P., Systemic Risk: A Survey. Technical report, CEPR Discussion Papers, 2000.
  • Delli Gatti, D., Gaffeo, E., Gallegati, M., Giulioni, G. and Palestrini, A., Emergent Macroeconomics: An Agent-based Approach to Business Fluctuations, New Economic Windows, 2008 (Springer: Milan).
  • Delli Gatti, D., Desiderio, S., Gaffeo, E., Cirillo, P. and Gallegati, M., Macroeconomics from the Bottom-up, 2011 (Springer: Milan).
  • Delli Gatti, D., Gallegati, M., Greenwald,, B.C., Russo, A. and Stiglitz, J.E. Business fluctuations and bankruptcy avalanches in an evolving network economy. J. Econ. Interact. Coord., 2009, 4(2), 195–212.
  • Duffie, D. and Singleton, K., Credit Risk: Pricing, Measurement, and Management, Princeton Series in Finance, 2012 (Princeton University Press: Princeton, NJ and Oxford).
  • Eisenberg, L. and Noe, T.H., Systemic risk in financial systems. Manage. Sci., 2001, 47(2), 236–249.
  • Fostel, A. and Geanakoplos, J., Leverage cycles and the anxious economy. Am. Econ. Rev., 2008, 98(4), 1211–1244.
  • Gabbi, G., Iori, G., Jafarey, S. and Porter, J., Financial regulations and bank credit to the real economy. J. Econ. Dyn. Control, 2015, 50, 117–143.
  • Gaffeo, E., Delli Gatti, D., Desiderio, S. and Gallegati, M., Adaptive microfoundations for emergent macroeconomics. Eastern. Econ. J., 2008, 34(4), 441–463.
  • Geanakoplos, J., The leverage cycle. In NBER Macro-economics Annual 2009, edited by D. Acemoglu, K. Rogoff and M. Woodford, Vol. 24, pp. 1652010 (University of Chicago Press: Chicago, IL).
  • Georg, C.P., Basel III and Systemic Risk Regulation—What Way Forward?, Technical report 17, Working Papers on Global Financial Markets, 2011.
  • Gualdi, S., Tarzia, M., Zamponi, F. and Bouchaud, J.P., Tipping points in macroeconomic agent-based models. J. Econ. Dyn. Control, 2015, 50, 29–61.
  • Haldane, A.G. and May, R.M., Systemic risk in banking ecosystems. Nature, 2011, 469(7330), 351–355.
  • Huang, X., Zhou, H. and Zhu, H., Systemic risk contributions. J. Financial Serv. Res., 2012, 42(1–2), 55–83.
  • Huang, X., Vodenska, I., Havlin, S. and Stanley, H.E., Cascading failures in Bi-partite graphs: Model for systemic risk propagation. Sci. Rep. 2013, 3(1219), 1–8.
  • Hull, J.C., Options, Futures, and Other Derivatives, 2012 (Prentice Hall PTR: Boston).
  • Hull, J.C. and White, A.D., Valuing credit default swaps I: No counterparty default risk. J. Derivatives, 2000, 8(1), 29–40.
  • Hull, J.C. and White, A.D., Valuing credit default swaps II: Modeling default correlations. J. Derivatives, 2001, 8(3), 12–21.
  • Iori, G., De Masi, G., Precup, O.V., Gabbi, G. and Caldarelli, G., A network analysis of the Italian overnight money market. J. Econ. Dyn. Control, 2008, 32(1), 259–278.
  • Klimek, P., Poledna, S., Farmer, J. and Thurner, S., To bail-out or to bail-in? Answers from an agent-based model. J. Econ. Dyn. Control, 2015, 50, 144–154.
  • Kyriakopoulos, F., Thurner, S., Puhr, C. and Schmitz, S.W., Network and eigenvalue analysis of financial transaction networks. Eur. Phys. J. B—Condens. Matter Complex Syst. 2009, 71, 4523–531.
  • Markose, S., Giansante, S. and Shaghaghi, A.R., ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk. J. Econ. Behav. Organiz., 2012, 83(3), 627–646.
  • Martínez-Jaramillo, S., Alexandrova-Kabadjova, B., Bravo-Benitez, B. and Solórzano-Margain, J.P., An empirical study of the Mexican banking system’s network and its implications for systemic risk. J. Econ. Dyn. Control, 2014, 40, 242–265.
  • Masciandaro, D. and Passarelli, F., Financial systemic risk: Taxation or regulation? J. Banking Finance, 2013, 37(2), 587–596.
  • Matheson, T., Security transaction taxes: Issues and evidence. Int. Tax Public Finance, 2012, 19(6), 884–912.
  • McCulloch, N. and Pacillo, G., The Tobin Tax a Review of the Evidence. Technical report 1611, 2011 (Department of Economics, University of Sussex).
  • Minoiu, C., Kang, C., Subrahmanian, V.S. and Berea, A., Does Financial Connectedness Predict Crises? Technical report 13/267, 2013 (International Monetary Fund).
  • Minsky, H.P., The financial instability hypothesis. The Jerome Levy Economics Institute Working Paper, 741992.
  • Poledna, S., Bochmann, O. and Thurner, S., Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects. 2016, arXiv preprint arXiv:1602.03505.
  • Poledna, S., Molina-Borboa, J.L., Martínez-Jaramillo, S., van der Leij, M. and Thurner, S., The multi-layer network nature of systemic risk and its implications for the costs of financial crises. J. Financial Stab., 2015, 20, 70–81.
  • Poledna, S., Thurner, S., Farmer, J.D. and Geanakoplos, J., Leverage-induced systemic risk under Basle II and other credit risk policies. J. Banking Finance, 2014, 42, 199–212.
  • Roukny, T., Bersini, H., Pirotte, H., Caldarelli, G. and Battiston, S., Default cascades in complex networks: Topology and systemic risk. Sci. Rep. 2013, 3(2759), 1–8.
  • Solorzano-Margain, J.P., Martinez-Jaramillo, S. and Lopez-Gallo, F., Financial contagion: Extending the exposures network of the Mexican financial system. Comput. Manage. Sci., 2013, 10(2–3), 125–155.
  • Soramäki, K., Bech, M.L., Arnold, J., Glass, R.J. and Beyeler, W.E., The topology of interbank payment flows. Phys. A: Stat. Mech. Appl., 2007, 379(1), 317–333.
  • Standard & Poor’s, Understanding Standard & Poor’s Rating Definitions. 2009.
  • Summers, L.H. and Summers, V.P., When Financial Markets Work Too Well: A Cautious Case For A Securities Transactions Tax. Technical report 12 1989 (Columbia: Center for Futures Markets).
  • Tedeschi, G., Mazloumian, A., Gallegati, M. and Helbing, D., Bankruptcy cascades in interbank markets. PloS one, 2012, 7(12), e52749.
  • The Economist, America’s vulnerable economy, 2007a.
  • The Economist, CSI: credit crunch, 2007b.
  • The Economist, What Angela isn’t saying, 2013.
  • Thurner, S., Farmer, J. and Geanakoplos, J., Leverage causes fat tails and clustered volatility. Quant. Finance, 2012, 12(5), 695–707.
  • Thurner, S. and Poledna, S., DebtRank-transparency: Controlling systemic risk in financial networks. Sci. Rep. 1888, 2013(3), 1–7.
  • Tobin, J., A Proposal for International Monetary Reform. Technical report 506, 1978 (Cowles Foundation for Research in Economics, Yale University).
  • Upper, C. and Worms, A., Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion? Technical report 9, 2002 (Deutsche Bundesbank, Research Centre).
  • Zlatić, V., Gabbi, G. and Abraham, H., Reduction of systemic risk by means of Pigouvian taxation. 2014, arXiv preprint arXiv:1406.5817.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.