相关论文: On the Instability of Fractional Reserve Banking

A fractional generalization of variations is used to define a stability of non-integer order. Fractional variational derivatives are suggested to describe the properties of dynamical systems at fractional perturbations. We formulate…

We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…

The paper discusses linear fractional representations of parameter-dependent nonlinear systems with dynamics defined by real rational nonlinearities and a finite set of point delays. The global asymptotic stability is investigated via…

This paper deals with stability of a certain class of fractional order linear and nonlinear systems. The stability is investigated in the time domain and the frequency domain. The general stability conditions and several illustrative…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

Dynamical systems can be prone to severe fluctuations due to the presence of chaotic dynamics. This paper explains for a toy chaotic economic model how such a system can be regulated by the application of relatively weak control to keep the…

In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…

We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…

We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…

Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…

The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…

We analyzed conditions for Hopf and Turing instabilities to occur in two-component fractional reaction-diffusion systems. We showed that the eigenvalue spectrum and fractional derivative order mainly determine the type of instability and…

In this paper, we give a criterion on instability of an equilibrium of nonlinear Caputo fractional differential systems. More precisely, we prove that if the spectrum of the linearization has at least one eigenvalue in the sector…

Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…

Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological…

The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…

Fractional derivative and delay are important tools in modeling memory properties in the natural system. This work deals with the stability analysis of a fractional order delay differential equation \begin{equation*} D^\alpha x(t)=\delta…

Stochastic feedback systems give rise to a variety of notions of stability. The conditions for the stability of the median, mean, and variance stability conditions differ. These conditions can be stated explicitly for scalar discrete-time…

The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…