论文标题
信贷冻结，均衡多样性和金融网络中的最佳救助
Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks
论文作者
论文摘要
我们分析金融网络中组织之间的相互依赖性如何导致多种可能的均衡结果。当且仅当网络中存在某种类型的依赖周期时，就会出现多重性。我们为银行在任何均衡中的偿付能力提供必要的条件。在这些条件下，我们表征了确保系统偿付能力所需的最低救助付款，以及如何通过保证一组特定的债务支付来确保偿付能力。消除自我实现的默认周期（信用冻结）所需的救助注射是完全可回收的，而防止级联违约所需的违约周期却没有。我们表明，最低救助问题在计算上很难，但是在最佳付款方面提供了上限，并表明该问题在特定的网络结构中具有直观的解决方案，例如具有脱节周期或核心 - 外围结构的解决方案。
We analyze how interdependencies between organizations in financial networks can lead to multiple possible equilibrium outcomes. A multiplicity arises if and only if there exists a certain type of dependency cycle in the network that allows for self-fulfilling chains of defaults. We provide necessary and sufficient conditions for banks' solvency in any equilibrium. Building on these conditions, we characterize the minimum bailout payments needed to ensure systemic solvency, as well as how solvency can be ensured by guaranteeing a specific set of debt payments. Bailout injections needed to eliminate self-fulfilling cycles of defaults (credit freezes) are fully recoverable, while those needed to prevent cascading defaults outside of cycles are not. We show that the minimum bailout problem is computationally hard, but provide an upper bound on optimal payments and show that the problem has intuitive solutions in specific network structures such as those with disjoint cycles or a core-periphery structure.
