Stress Testing Linkages between Banks in the Netherlands
AbstractAssessing 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10092.
Date of creation: 04 Aug 2008
Date of revision:
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:
- NEP-ALL-2008-08-31 (All new papers)
- NEP-BAN-2008-08-31 (Banking)
- NEP-MAC-2008-08-31 (Macroeconomics)
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