Interbank Contagion at Work: Evidence from a Natural Experiment
利用一家大银行倒闭带来的意外冲击和银行间敞口数据，检验了银行间关联导致的金融传染，发现对倒闭银行敞口越大的银行遭受的存款流失越多，且传染会通过幸存银行间的关联进一步扩散。
This article tests financial contagion due to interbank linkages. For identification, we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the shock. Finally, we find results suggesting that there are real economic effects. These results suggest that interbank linkages act as an important channel of contagion and hold important policy implications.