Interbank Credit Lines as a Channel of Contagion |
| |
Authors: | Jeannette Müller |
| |
Institution: | 1. Swiss National Bank, B?rsenstrasse 15, P.O. Box, CH-8022, Zürich, Switzerland
|
| |
Abstract: | This paper assesses the potential for contagion in the Swiss interbank market using new data on bilateral bank exposures as
well as on credit lines. A simulation approach is applied to assess the banking system's inherent instability. Moreover, the
spill-over effects of a simulated default situation in the interbank market on the liquidity and solvency of banks are measured.
The main findings are, first, that there is a substantial potential for contagion. Second, the exposure as well as the credit
line contagion channel are relevant for Switzerland. Third, a lender of last resort intervention could reduce spill-over effects
remarkably. Finally, the structure of the interbank market has considerable impact on its resilience against spill-over effects:
Centralized markets are more prone to contagion than homogenous ones.
JEL classification: C81, G21.
The opinions expressed herein are my own and not those of the Swiss National Bank. |
| |
Keywords: | Financial contagion systemic risk network structures lender of last resort Switzerland |
本文献已被 SpringerLink 等数据库收录! |
|