摘要
金融傳染作為系統風險的決定因素，在過去幾十年間通常是透過網絡模型進行研究。此篇論文中，我們將Elliott et al. (2014) 所建立的模型一般化，融合了資產重疊（overlapping portfolios）與賤賣資產效應（fire sale）。此論文主要貢獻在於，在透過持股或資產重疊所產生的依賴性上，我們比較了風險分散與傳播渠道的綜合作用，以及賤賣資產如何影響風險分散的有效性。另外，我們指出金融整合度（integration）可分散網絡中的彼此間的依賴性以降低金融傳染的嚴重程度。透過此篇論文的研究，我們強調了制定總體審慎政策時，政策制定者應要考慮不同依賴性來源。
並列摘要
As one of the determinants of systemic risk, financial contagion has been studied from the perspective of network theory in the past decades. In this thesis, we modify the model designed by Elliott et al. (2014) to generalize the idea of dependency by incorporating overlapping portfolios and fire-sale effect. The main contribution of this thesis is that we compare the risk-sharing effect and the function of transmission channels between share-based and liquidity-based dependency, and how fire-sale affects the effectiveness of diversification. Furthermore, we identify another effect of integration, which could reduce the severity of contagion by averaging the dependency in the networks. Through our study, we stress the importance of considering different sources of dependency when making macroprudential policies.
並列關鍵字
Systemic risk ； Contagion ； Overlapping portfolio ； Financial network ； Fire sale ； Risk sharing參考文獻
延伸閱讀
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