The domino effect on the Hungarian interbank market

• Authors: Lubloy A.
• Languages of publication: HU

Abstracts

EN

The study sets out to measure quantitatively the infection on the Hungarian interbank market. The linking loan agreements among banks may produce a situation in which failure of a few institutions brings down the whole banking sector. The study applies simulation methods to trace the effect that the single, idiosyncratic failure of each bank would have. The author measures the domino effect using a modified definition of failure, also taking market expectations into account. She examines within various scenarios what would happen if several banks with the same exposure failed at once. The domino effect in Hungary, in absolute and relative terms, turns out to be limited even in extreme cases, which can be ascribed mainly to the fact that banks' exposure to interbank transactions is low compared with their underlying capital..

Keywords

EN

DOMINO EFFECT; HUNGARIAN INTERBANK MARKET

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Committee for Economic Sciences of the Hungarian Academy of Sciences
• Journal: Kozgazdasagi Szemle (Economic Review)
• Year: 2005
• Volume: 42
• Issue: 4
• Pages: 377-401
• Document type: ARTICLE

Contributors

author

Lubloy A.

• A. Lubloy, no address given, contact the journal editor

Identifiers

CEJSH db identifier

07HUAAAA02956014