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Dominóhatás a magyar bankközi piacon
[The domino effect on the Hungarian interbank market]

  • Lublóy, Ágnes

    ()

A tanulmány a magyar bankközi piacon keresztüli fertőzés kvantitatív mérésére vállalkozik. A bankok közötti körkörös hitelszerződések láncolata ugyanis előidézhet olyan helyzetet, amelyben néhány intézmény csődje akár az egész bankszektort magával rántja. A tanulmány a szimuláció módszerének felhasználásával minden bank egyszeri, idioszinkratikus csődjének hatását követi nyomon. A fertőzés súlyosságát az első és a második körös fertőzések száma mellett a bankrendszer tőkevesztése, valamint az érintett bankok eszközállományának bankrendszeren belüli aránya mutatja. A szerző a dominóhatás mértékét egy módosított csőddefiníció mellett, illetve a piaci várakozások figyelembevételével is megvizsgálja. Külön forgatókönyvekben elemzi, hogy mi történne, ha egyszerre több, azonos kitettségi profilú bank jutna csődbe. Magyarországon a dominóhatás - mind abszolút, mind relatív értelemben - még a meglehetősen szélsőséges esetekben is korlátozott, ami leginkább a bankok alapvető tőkéjükhöz viszonyított alacsony bankközi kitettségeivel magyarázható. Journal of Economic Literature (JEL) kód: C10, G21.

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Article provided by Közgazdasági Szemle Alapítvány (Economic Review Foundation) in its journal Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).

Volume (Year): LII (2005)
Issue (Month): 4 ()
Pages: 377-401

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Handle: RePEc:ksa:szemle:758
Contact details of provider: Web page: http://www.kszemle.hu

Order Information: Postal: Közgazdasági Szemle Alapítvány (Economic Review Foundation) Budapest, Budaörsi út 45., 1112, Hungary
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  1. 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.
  2. Hans Degryse & Grégory Nguyen, 2004. "Interbank exposures: an empirical examination of systemic risk in the Belgian banking system," Working Paper Research 43, National Bank of Belgium.
  3. James, Christopher, 1991. " The Losses Realized in Bank Failures," Journal of Finance, American Finance Association, vol. 46(4), pages 1223-42, September.
  4. Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
  5. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
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