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Interbank Exposures: Quantifying the Risk of Contagion, Journal of Money, Credit and Banking

Abstract

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.

Type

Article

Author(s)

Craig Furfine

Date Published

2003

Citations

Furfine, Craig. 2003. Interbank Exposures: Quantifying the Risk of Contagion. Journal of Money, Credit and Banking. 35(1): 111-128.

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