Exchange rate shocks in multicurrency interbank markets
Pierre L. Siklos and
No 9220, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster
We develop a framework for studying financial contagion triggered by exchange rate shocks. To this end, we simulate multicurrency interbank markets with stylized properties and study their behavior in response to sudden appreciations and depreciations of a particular currency. A key result of our analysis is that the concentration of many interbank exposures in the same currency can lead to significant systemic risk.
Keywords: Systemic risk; financial contagion; interbank markets; multilayer networks (search for similar items in EconPapers)
Pages: 52 pages
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:9220
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