Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/6312
Título: Interbank linkages and contagion risk in the portuguese banking system
Autor: Fernandes, Lara Mónica Machado
Borges, Maria Rosa
Palavras-chave: Money market,
Interbank lending
Financial contagion
Data: 2013
Editora: ISEG. Departamento de Economia
Citação: Fernandes, Lara Mónica Machado, Maria Rosa Borges. 2013. "Interbank linkages and contagion risk in the portuguese banking system". Instituto Superior de Economia e Gestão. ISEG/DE working papers. Nº 23/2013/DE/UECE.
Relatório da Série N.º: ISEG/DE working papers;nº 23/2013/DE/UECE
Resumo: Interbank money markets play a fundamental role in financial systems but they can also be a channel through which problems in one institution can spread to the remaining ones. In particular, the potential for contagion stemming from interbank money markets is closely related with the pattern of interbank lending relationships. In this study, we characterize the Portuguese overnight interbank money market between 1999 and 2009 and analyze its inherent potential for contagion, based on bilateral interbank exposures. We conclude that: (i) the Portuguese overnight interbank money market has a multiple money center structure, where some banks have, simultaneously, an important role as lenders as well as borrowers; (ii) although unlikely, the failure of one institution can have contagion effects, pushing others into failure; (iii) however, even under the most extreme assumptions, banks that fail by contagion represent less than 10 per cent of the total banking systems assets.
URI: http://hdl.handle.net/10400.5/6312
ISSN: 0874-4548
Versão do Editor: https://aquila1.iseg.ulisboa.pt/aquila/getFile.do?method=getFile&fileId=412906&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2013&_request_checksum_=9ec8cd1d39f95b67421444038bf53f408f903e7a
Aparece nas colecções:DE - Documentos de trabalho / Working Papers

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