Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?
AbstractCredit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably reduces â but does not eliminate â the danger of contagion. Even so, the failure of a single bank could lead to the breakdown of up to 15 % of the banking system in terms of assets. -- Kreditrisiken aus Interbankbeziehungen kÃ¶nnen zu Dominoeffekten fÃ¼hren indem der Zusammenbruch einer Bank den Zusammenbruch anderer Banken bewirkt, die nicht direkt vom ursprÃ¼nglichen Schock betroffen waren. Neuere theoretische Arbeiten zeigen, dass dieses Ansteckungsrisiko von der genauen Struktur der Interbankbeziehungen abhÃ¤ngt. Wir schÃ¤tzen die Matrix bilateraler Kreditbeziehungen fÃ¼r das deutsche Bankensystem auf Basis von Bankbilanzdaten und testen anschliessend, ob der Zusammenbruch einer einzelnen Bank zu Ansteckungseffekten fÃ¼hren kann. Wir kommen zu dem Ergebnis, dass die Sicherungssysteme (institutionelle Garantien fÃ¼r Sparkassen und Kreditgenossenschaften) die Ansteckungsgefahr zwar betrÃ¤chtlich verringern aber nicht vollstÃ¤ndig eliminieren kÃ¶nnen. Die Zusammenbruch einer einzelnen Bank kann trotzdem zu einem Verlust von 15 % der Aktiva des gesamten Bankensystems fÃ¼hren.
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Bibliographic InfoArticle provided by Elsevier in its journal European Economic Review.
Volume (Year): 48 (2004)
Issue (Month): 4 (August)
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Web page: http://www.elsevier.com/locate/eer
Other versions of this item:
- Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre.
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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