Auflistung nach Autor "Krahnen, Jan Pieter"

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    • Endogenous Banks’ Networks, Cascades and Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-06-01)
      We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...

    • Measuring Ambiguity Aversion: A Systematic Experimental Approach 

      Krahnen, Jan Pieter; Ockenfels, Peter; Wilde, Christian (2014-06-20)
      This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ...

    • Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-03-26)
      This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ...

    • Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets 

      Bluhm, Marcel; Krahnen, Jan Pieter (2014-03-30)
      We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...