Greenwood, Robin; Landier, Augustin; Thesmar, David - In: Journal of Financial Economics 115 (2015) 3, pp. 471-485
asset sales depress prices, in which case one bank׳s sales impact other banks with common exposures. We show how this … contagion effect adds up across the banking sector, and how it can be estimated empirically using balance sheet data. We compute … bank exposures to system-wide deleveraging, as well as the spillovers induced by individual banks. Applying the model to …