Interbank contagion at work: Evidence from a natural experiment

Artikel

This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the shock. Finally, we find results suggesting that there are real economic effects. These results suggest that interbank linkages act as an important channel of contagion and hold important policy implications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Review of Financial Studies ; ISSN: 0893-9454 ; Volume: 24 ; Year: 2011 ; Issue: 4 ; Pages: 1337-1377 ; Oxford: Oxford University Press

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation ; Central Banks and Their Policies

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Iyer, Rajkamal ; Peydró, José-Luis
• Event: Veröffentlichung
• (who): Oxford University Press ; ZBW - Leibniz Information Centre for Economics
• (where): Oxford
• (when): 2011

Further information

• DOI: doi:10.1093/rfs/hhp105
• Handle: http://hdl.handle.net/10419/232081
• Last update: 10.03.2025, 11:43 AM CET