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Stress Testing Linkages between Banks in the Netherlands

  • van Lelyveld, Iman
  • Liedorp, Franka
  • Pröpper, Marc

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: https://mpra.ub.uni-muenchen.de/10092/1/MPRA_paper_10092.pdf
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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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  1. Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007. "The topology of interbank payment flows," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 317-333.
  2. Franklin Allen & Douglas Gale, 1998. "Financial Contagion Journal of Political Economy," Center for Financial Institutions Working Papers 98-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
  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.
  4. Klaus Abbink & Ronald Bosman & Ronald Heijmans & Frans van Winden, 2010. "Disruptions in large value payment systems: An experimental approach," DNB Working Papers 263, Netherlands Central Bank, Research Department.
  5. Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank).
  6. 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.
  7. 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 and International Relations Area.
  8. 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.
  9. C. H. Furfine, 1999. "Interbank exposures: quantifying the risk of contagion," BIS Working Papers 70, Bank for International Settlements.
  10. Christian Upper, 2007. "Using counterfactual simulations to assess the danger of contagion in interbank markets," BIS Working Papers 234, Bank for International Settlements.
  11. Jeannette Müller, 2006. "Interbank Credit Lines as a Channel of Contagion," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 37-60, February.
  12. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 0035, European Central Bank.
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