Interbank contagion at work: evidence from a natural experiment

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• dc.contributor.author Iyer, Rajkamal
• dc.contributor.author Peydró, José-Luis
• dc.date.accessioned 2020-01-13T11:44:49Z
• dc.date.available 2020-01-13T11:44:49Z
• dc.date.issued 2011
• dc.description.abstract 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.
• dc.format.mimetype application/pdf
• dc.identifier.citation Iyer R, Peydró JL. Interbank contagion at work: evidence from a natural experiment. Rev Financ Stud. 2011 Apr;24(4):1337-77. DOI: 10.1093/rfs/hhp105
• dc.identifier.doi http://dx.doi.org/10.1093/rfs/hhp105
• dc.identifier.issn 0893-9454
• dc.identifier.uri http://hdl.handle.net/10230/43265
• dc.language.iso eng
• dc.publisher Oxford University Press
• dc.relation.ispartof Review of Financial Studies. 2011 Apr;24(4):1337-77
• dc.rights © 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/hhp105
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.other Crisis financeres
• dc.subject.other Bancs
• dc.subject.other Bancs -- Fallides
• dc.subject.other Bancs -- Aspects polítics
• dc.title Interbank contagion at work: evidence from a natural experiment
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion