The full text of this article
Financial contagion in interbank network
by Dengbao Yao; Xiaoxing Liu; Xu Zhang
International Journal of Monetary Economics and Finance (IJMEF), Vol. 9, No. 2, 2016
Abstract: Contagion effect is a key concern for banks charged with safeguarding overall financial stability and avoiding bankruptcy. In this paper, we investigate how the default contagion caused by a single bank's initial shock spread to its creditors and even the whole system, and how to estimate the contagion probability and contagion index, which reflects the impact on the rest of interbank system if one bank fails. By constructing the interbank network, we combine some parameters, such as net worth, leverage of outside assets and the network connectivity, to derive the explicit measures on the potential magnitude of interbank network effect on contagion with little detailed information. Results suggest that contagion effects are most significant if the originating bank is highly leveraged or has high network connectivity.
is only available to individual subscribers or to users at subscribing institutions.
Go to Inderscience Online Journals
to access the full text.
Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.
Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email email@example.com