Co-Pierre Georg

I am an Associate Professor at the University of Cape Town and a Research Economist at Deutsche Bundesbank. Please note that this is my private website and the views presented here do not necessarily reflect the views of Bundesbank or the ESCB.

Publications

May 2017. "Information Contagion and Systemic Risk" (with Toni Ahnert, Bank of Canada), Journal of Financial Stability 35. [abstract] [paper] Information contagion can reduce systemic risk if banks lend to each other because ex-post counterparty risk leads to more prudent ex-ante portfolio choice.

January 2015. "Contagious Synchronization and Endogenous Network Formation in Financial Networks" (with Christoph Aymanns, LSE), Journal of Banking and Finance 50(1) (2015). [abstract] [paper] [code available upon request] Banks act based on a private and a social signal in a simple extension of Bayesian learning. The social signal is stronger if banks observe a larger group of peers which leads to correlated investment strategies of highly interconnected banks.

February 2013. "The Effect of the Interbank Network Structure on Contagion and Common Shocks", Journal of Banking and Finance 37(7) (2013). [abstract] [paper] [code] A dynamic multi-agent model of the financial system. The interbank network structure does not always affect financial stability and central bank liquidity provision can stabilize the interbank market in the short-run only.

Work in progress:

• "The Real Effects of Financial Networks" (with Christian Bittner, Bundesbank, and Falko Fecht, Frankfurt School).
• "Anticipated Financial Contagion" (with Toni Ahnert, Bank of Canada, and Gideon du Rand, Stellenbosch).
• "Measuring Regulatory Complexity" (with Jean-Edouard Colliard, HEC Paris).