Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83493
Authors: 
Montagna, Mattia
Kok, Christoffer
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1873
Abstract: 
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.
Subjects: 
financial contagion
interbank market
network theory
JEL: 
C45
C63
D85
G21
Document Type: 
Working Paper

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