Financial contagion within the interbank network

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2025-08-22 DOI:10.1016/j.jfs.2025.101449

Christina D. Mikropoulou , Angelos T. Vouldis

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Abstract

The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct linkages. This paper develops an agent-based model of financial contagion in the interbank market that features both direct and indirect transmission mechanisms. We conduct simulations on actual interbank bilateral exposures, constructed manually from a confidential supervisory dataset reported by the largest euro area banks. The model is used to investigate and quantify the relative contributions of direct and indirect channels. We find that while the impact of direct contagion increases gradually with the shock intensity, the effect of indirect contagion is subject to threshold effects and can increase abruptly when the threshold is exceeded. In addition, the risk posed by indirect contagion has a higher upper bound compared to direct contagion. Finally, we find that in terms of overall impact, the shocks to the value of sovereign debt and non-bank financial institutions represent the most significant risk to the functioning of the interbank market.

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银行间网络内的金融传染

对金融网络传染的分析主要集中在通过直接联系运作的传播渠道上。本文建立了一个基于主体的银行间市场金融传染模型，该模型具有直接传染机制和间接传染机制。我们对实际的银行间双边风险敞口进行了模拟，这些风险敞口是根据欧元区最大银行报告的机密监管数据集手动构建的。该模型用于调查和量化直接和间接渠道的相对贡献。我们发现，直接传染的影响随着冲击强度的增大而逐渐增大，而间接传染的影响受阈值效应影响，超过阈值后会突然增大。此外，与直接传染相比，间接传染带来的风险有更高的上限。最后，我们发现，就整体影响而言，对主权债务和非银行金融机构价值的冲击对银行间市场的运作构成了最大的风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.