Interbank contagion at work: evidence from a natural experiment

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1147

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation ; Central Banks and Their Policies
• Thema: Bank runs ; banking crisis ; Contagion ; Deposit Insurance ; Interbank Market ; liquidity dry-ups ; macro-prudential analysis ; systemic risk ; wholesale depositors ; Bankinsolvenz ; Ansteckungseffekt ; Geldmarkt ; Einlagensicherung ; Bankenkrise ; Wirkungsanalyse ; Gujarat ; Indien

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Iyer, Rajkamal ; Peydró, José-Luis
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/153581
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ