Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/232081
Authors: 
Iyer, Rajkamal
Peydró, José-Luis
Year of Publication: 
2011
Citation: 
[Journal:] Review of Financial Studies [ISSN:] 0893-9454 [Volume:] 24 [Issue:] 4 [Pages:] 1337-1377
Abstract: 
This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the shock. Finally, we find results suggesting that there are real economic effects. These results suggest that interbank linkages act as an important channel of contagion and hold important policy implications.
JEL: 
G01
G21
G28
E58
Published Version’s DOI: 
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)

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