Interbank Contagion in the Dutch Banking Sector
Iman Lelyveld and
MPRA Paper from University Library of Munich, Germany
We investigate interlinkages and contagion risks in the Dutch interbank market. Based on several data sources, including the answers of banks to a questionnaire, we estimate the exposures in the interbank market at bank level. Next, we perform a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of the failure of a smaller bank are limited. The exposures to foreign counterparties are large and warrant further research. An important contribution of this paper is that we show, using survey data, that the entropy estimation using large exposures data as applied in many previous papers gives an adequate approximation of the actual linkages between banks. Hence, this methodology does not seem to introduce a bias.
Keywords: interbank market; contagion; simulation (search for similar items in EconPapers)
JEL-codes: O16 (search for similar items in EconPapers)
Date: 2004-10-06, Revised 2005-07-11
New Economics Papers: this item is included in nep-ban
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed
Published in International Journal of Central Banking Number 2.Volume(2006): pp. 99-134
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/651/1/MPRA_paper_651.pdf original version (application/pdf)
Working Paper: Interbank Contagion in the Dutch Banking Sector (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:651
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().