Stress Testing Linkages between Banks in the Netherlands

van Lelyveld, Iman and Liedorp, Franka and Pröpper, Marc (2008): Stress Testing Linkages between Banks in the Netherlands. Forthcoming in: Stress Testing the Banking System: methodologies and applications No. Quagliariello, Mario (editor), Cambridge University Press (forthcoming)

Abstract

Assessing the stability of the financial sector is becoming more common in many countries. This paper presents two useful approaches, applied to the Netherlands. First we discuss the results of a contagion analysis of the Dutch interbank market. We use various ways to measure linkages between banks and find that the interbank market is fairly robust. We then turn to a network analysis of payment flows between Dutch banks. This analysis provides us with a better understanding of the network structure in this type of market. We specifically look at the effect of the recent turmoil on the payment network and find no significant changes.

• Item Type: MPRA Paper
• Language: English
• Keywords: interbank, payment, systemic risk, financial stability, network, topology
• Subjects: G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G2 - Financial Institutions and Services; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit

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