Interbank contagion at work: evidence from a natural experiment

This article 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 le...

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Detalles Bibliográficos
Autores: Iyer, Rajkamal, Peydró, José-Luis
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2011
País:España
Institución:Universitat Pompeu Fabra
Repositorio:Repositorio Digital de la UPF
OAI Identifier:oai:repositori.upf.edu:10230/43265
Acceso en línea:http://hdl.handle.net/10230/43265
http://dx.doi.org/10.1093/rfs/hhp105
Access Level:acceso abierto
Palabra clave:Crisis financeres
Bancs
Bancs -- Fallides
Bancs -- Aspects polítics
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spelling Interbank contagion at work: evidence from a natural experimentIyer, RajkamalPeydró, José-LuisCrisis financeresBancsBancs -- FallidesBancs -- Aspects políticsThis article 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.Oxford University Press202020202011info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttp://hdl.handle.net/10230/43265http://dx.doi.org/10.1093/rfs/hhp105reponame:Repositorio Digital de la UPFinstname:Universitat Pompeu FabraInglésReview of Financial Studies. 2011 Apr;24(4):1337-77© Oxford University Press. This is a pre-copyedited, author-produced version of an article accepted for publication in The Review of Financial Studies following peer review. The version of record Iyer R, Peydró J-L. Interbank contagion at work: evidence from a natural experiment. Rev Financ Stud. 2011 Apr;24(4):1337-77. DOI: 10.1093/rfs/hhp105 is available online at: https://academic.oup.com/rfs/article-abstract/24/4/1337/1578693 and https://doi.org/10.1093/rfs/hhp105info:eu-repo/semantics/openAccessoai:repositori.upf.edu:10230/432652026-06-12T07:21:37Z
dc.title.none.fl_str_mv Interbank contagion at work: evidence from a natural experiment
title Interbank contagion at work: evidence from a natural experiment
spellingShingle Interbank contagion at work: evidence from a natural experiment
Iyer, Rajkamal
Crisis financeres
Bancs
Bancs -- Fallides
Bancs -- Aspects polítics
title_short Interbank contagion at work: evidence from a natural experiment
title_full Interbank contagion at work: evidence from a natural experiment
title_fullStr Interbank contagion at work: evidence from a natural experiment
title_full_unstemmed Interbank contagion at work: evidence from a natural experiment
title_sort Interbank contagion at work: evidence from a natural experiment
dc.creator.none.fl_str_mv Iyer, Rajkamal
Peydró, José-Luis
author Iyer, Rajkamal
author_facet Iyer, Rajkamal
Peydró, José-Luis
author_role author
author2 Peydró, José-Luis
author2_role author
dc.subject.none.fl_str_mv Crisis financeres
Bancs
Bancs -- Fallides
Bancs -- Aspects polítics
topic Crisis financeres
Bancs
Bancs -- Fallides
Bancs -- Aspects polítics
description This article 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.
publishDate 2011
dc.date.none.fl_str_mv 2011
2020
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10230/43265
http://dx.doi.org/10.1093/rfs/hhp105
url http://hdl.handle.net/10230/43265
http://dx.doi.org/10.1093/rfs/hhp105
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Review of Financial Studies. 2011 Apr;24(4):1337-77
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Oxford University Press
publisher.none.fl_str_mv Oxford University Press
dc.source.none.fl_str_mv reponame:Repositorio Digital de la UPF
instname:Universitat Pompeu Fabra
instname_str Universitat Pompeu Fabra
reponame_str Repositorio Digital de la UPF
collection Repositorio Digital de la UPF
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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