Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/83493 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1873
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are non-negligible non-linearities in the propagation of shocks to individual banks when taking into account that banks are related to each other in various market segments. In a nutshell, the contagion effects when considering the shock propagation simultaneously across multiple layers of interbank networks can be substantially larger than the sum of the contagion-induced losses when considering the network layers individually. In addition, a bank 'systemic importance' measure based on the multi-layered network model is developed and is shown to outperform standard network centrality indicators.
Schlagwörter: 
financial contagion
interbank market
network theory
JEL: 
C45
C63
D85
G21
Dokumentart: 
Working Paper

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