In this section
@article{Broga:2016:10.1016/j.physa.2016.03.054,
author = {Broga, KM and Viegas, E and Jensen, HJ},
doi = {10.1016/j.physa.2016.03.054},
journal = {Physica A - Statistical Mechanics and Its Applications},
pages = {225--238},
title = {Model analysis of the link between interest rates and crashes},
url = {http://dx.doi.org/10.1016/j.physa.2016.03.054},
volume = {457},
year = {2016}
}
TY - JOUR
AB - We analyse the effect of distinct levels of interest rates on the stability of the financial network under ourmodelling framework. We demonstrate that banking failures are likely to emerge early on under sustainedhigh interest rates, and at much later stage - with higher probability - under a sustained low interest ratescenario. Moreover, we demonstrate that those bank failures are of a different nature: high interest ratestend to result in significantly more bankruptcies associated to credit losses whereas lack of liquidity tends tobe the primary cause of failures under lower rates.
AU - Broga,KM
AU - Viegas,E
AU - Jensen,HJ
DO - 10.1016/j.physa.2016.03.054
EP - 238
PY - 2016///
SN - 0378-4371
SP - 225
TI - Model analysis of the link between interest rates and crashes
T2 - Physica A - Statistical Mechanics and Its Applications
UR - http://dx.doi.org/10.1016/j.physa.2016.03.054
UR - http://hdl.handle.net/10044/1/30977
VL - 457
ER -