Financial Contagion in Investment Funds投资基金地金融传染.pdf

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1、FinancialContagioninInvestmentFundsLEONARDODOSSANTOSPINHEIROFLAVIO´CODEC¸OCOELHOGetulioVargasFoundationSeptember3,2018AbstractManynewmodelsformeasuringfinancialcontagionhavebeenpresentedrecently.Whilethesemodelshavenotbeenspecifiedforinvestmentfundsdirectly,therearemanysimilaritiesth

2、atcouldbeexploredtoextendthemodels.Inthisworkweexploreideasdevel-opedaboutfinancialcontagiontocreateanetworkofinvestmentfundsusingbothcross-holdingofquotasandabipartitenetworkoffundsandassets.UsingdatafromtheBrazilianassetmanagementmarketweanalyzenotonlythecontagionpatternbutalsothe

3、structureofthisnetworkandhowthismodelcanbeusedtoassessthestabilityofthemarket.Keywords:financialnetworks,assetmanagement,contagionarXiv:1603.03458v1[q-fin.RM]9Mar201611IntroductionInrecentyearstheuseofnetworkrepresentationsforthestudyofeconomicsystemshasbecomeubiquitous,withmanyappl

4、icationsinthestudyoflabormarkets,micro-financeandproductionchainsAllenandBabus(2008).Aspecialsubjectinthesetopicsisthestudyoffinancialsystems.Sincetheglobalfinancialcrisisthathittheworldin2007-08theinterestintheintricatewaysinwhichfinancialinstitutionsareintertwinedhassoared,withstudie

5、sshowingtheseveralfacetsoftheinterconnectionsoffinancialsystems,speciallyinthewaytheseconnectionsaffectglobalstability.The2007-08crisis,whichstartedintheUSsub-primemortgagemar-ket,rapidlyspilledovertodebtmarketsinaprocessoffinancialcontagionthatultimatelyledtothedemiseofmajorAmerican

6、andEuropeanbanksandtriggeredaworldrecessionthatspannedyears.InterconnectionisalsoacauseofmajorconcernintheongoingEuropeandebtcrisis,withworriesthattheinterconnectionintheEuropeanbanksystemmaycauseaseriouscrisisifonenationdefaultsonitssovereigndebtorentersintorecessionputtingsomeoft

7、heexternalprivatedebtatrisk.Duetotheaforementionedevents,muchofthestudiesonthecon-nectednessoffinancialinstitutionsisfocusedonthemutualexposuresbetweenbanks,speciallytheonesacquiredontheinterbankmarket(seeCoccoetal.(2009),Mistrulli(2011)andIorietal.(2006)).Butmorerecentlysomeattenti

8、onhasbeendevotedtonon-bank