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Stress Testing Linkages between Banks in the Netherlands

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Author Info
van Lelyveld, Iman
Liedorp, Franka
Pröpper, Marc

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Abstract

Assessing the stability of the financial sector is becoming more common in many countries. This paper presents two useful approaches, applied to the Netherlands. First we discuss the results of a contagion analysis of the Dutch interbank market. We use various ways to measure linkages between banks and find that the interbank market is fairly robust. We then turn to a network analysis of payment flows between Dutch banks. This analysis provides us with a better understanding of the network structure in this type of market. We specifically look at the effect of the recent turmoil on the payment network and find no significant changes.

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File URL: http://mpra.ub.uni-muenchen.de/10092/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10092.

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Date of creation: 04 Aug 2008
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Handle: RePEc:pra:mprapa:10092

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Related research
Keywords: interbank payment systemic risk financial stability network topology

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
G2 - Financial Economics - - Financial Institutions and Services
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

This paper has been announced in the following NEP Reports:

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  1. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers) 641, Bank of Italy, Economic Research Department. [Downloadable!]
  2. Upper, Christian & Worms, Andreas, 2004. "Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?," European Economic Review, Elsevier, vol. 48(4), pages 827-849, August. [Downloadable!] (restricted)
  3. X. Freixas & B. Parigi & J-C. Rochet, 2000. "Systemic Risk, Interbank Relations and Liquidity Provision by theCentral Bank," DNB Staff Reports (discontinued) 47, Netherlands Central Bank. [Downloadable!]
    Other versions:
  4. Hans Degryse & Grégory Nguyen, 2007. "Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 123-171, June. [Downloadable!]
    Other versions:
  5. Craig Furfine, 1999. "Interbank exposures: quantifying the risk of contagion," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 313-328.
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This page was last updated on 2008-11-17.


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