We develop a tractable model of systemic bank runs. The market‐based banking system
features a two‐layer structure: banks with heterogeneous fundamentals face potential runs …

One of the controversies of diversification is that it may not be necessarily beneficial to the
banks as it leads to more severe systemic risk. Recent studies have modelled theoretical …

Why does the market discipline that financial intermediaries face seem too weak during
booms and too strong during crises? This paper shows in a general equilibrium setting that …

We examine the effect of ex-post information contagion on the ex-ante level of systemic risk
defined as the probability of joint bank default. Because of counterparty risk or common …

An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic
would investigate every possible channel of contagion from the infected region to the rest of …

What is the effect of Central Bank Digital Currency (CBDC) on financial stability? We answer
this question by studying a model of financial intermediation with an endogenously …

We model the interplay between trade in the interbank market and creditor runs on financial
institutions. We show that the feedback between them can amplify a small shock into …

This paper models an unexplored source of liquidity risk large broker-dealers face: a
withdrawal of collateral providers. By setting different contracting terms on repurchase …

What is the effect of Central Bank Digital Currency (CBDC) on financial stability? We answer
this question by studying a model of financial intermediation with remunerated CBDC as …

We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term
interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay …