Interbank Contagion at Work: Evidence from a Natural Experiment

• 成果类型: Article
• 署名作者: Iyer, Rajkamal; Peydro, Jose-Luis
• 署名单位: European Central Bank; University of Amsterdam
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp105
• 发表日期: 2011
• 页码: 1337
• 关键词: Bank runs; MARKET; liquidity; panics; INFORMATION; failures; crises; distress; PRIVATE; SYSTEM

摘要

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. (JEL G01, G21, G28, E58)