Financial Linkages Across Korean Banks
This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess banks' bilateral exposures, systemically vulnerable banks, and systemically risky banks. The analysis concludes that while Korean banks are interconnected, both the financial risk and contagion risk from such interconnectedness have declined significantly in the aftermath of the global financial crisis.
|Date of creation:||01 Aug 2011|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
References listed on IDEAS
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.:
- Dale Gray & Carlos García T. & Leonardo Luna B. & Jorge E. Restrepo L., 2009.
"Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile,"
Journal Economía Chilena (The Chilean Economy),
Central Bank of Chile, vol. 12(2), pages 11-33, August.
- Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197 Central Bank of Chile.
- Leonardo Luna & Dale F. Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models; Application to Chile," IMF Working Papers 11/228, International Monetary Fund.
- Dale Gray & Carlos García & Leonardo Luna & Jorge E. Restrepo, 2009. "Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile," Working Papers Central Bank of Chile 553, Central Bank of Chile.
- Dale F. Gray & Carlos Garcia & Leonardo Luna & Jorge Restrepo, 2009. "Incorporation financial sector risk into monetary policy models: application to Chile," ILADES-Georgetown University Working Papers inv229, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
- Dale F. Gray & James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 08/89, International Monetary Fund.
- Dimitrios P. Tsomocos, 2003.
"Equilibrium Analysis, Banking and Financial Instability,"
OFRC Working Papers Series
2003fe08, Oxford Financial Research Centre.
- Tsomocos, Dimitrios P., 2003. "Equilibrium analysis, banking and financial instability," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 619-655, July.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:11/201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.