Interbank exposures: Quantifying the risk of contagion

被引:291
作者
Furfine, CH [1 ]
机构
[1] Fed Reserve Bank Chicago, Chicago, IL 60604 USA
关键词
D O I
10.1353/mcb.2003.0004
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper examines the degree to which the failure of one bank would cause the subsequent collapse of other banks. Using unique data on interbank payment flows. the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios. and the risk of contagion is found to be economically small.
引用
收藏
页码:111 / 128
页数:18
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