This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications. …

This paper examines common regulation as cause of interbank contagion. Studies based on the correlation of bank assets … and the extent of interbank lending may underestimate the likelihood of contagion because they do not incorporate the fact …

this mechanism, fire sales can lead to contagion, and one failing bank can cause several more to follow suit. …

contagion only occurs if the correlation between the portfolios of banks is high enough. Without deposit insurance contagious … bank runs can impose such great losses on banks, that banks choose less correlated portfolios to avoid contagion altogether …

of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …

stability. We model the default of a large bank and analyse the resulting contagion effects. This is compared to a common shock … contagion effects, but are instead the greater threat to systemic stability. …

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …