Contagion Risk within Firm-Bank Bivariate Networks

Rodrigo Miranda and Benjamin Tabak

No 322, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper proposes a novel way to model a network of firm-bank and bank-bank interrelationships using a unique dataset for the Brazilian economy. We show that distress originating from firms can be propagated through the interbank network. Furthermore, we present evidence that the distribution of distress can have contagious effects due to correlated exposures. Our modeling approach and empirical results provide useful tools and information for policy makers and contribute to the discussion on assessing systemic risk in an interconnected world.

Date: 2013-08
New Economics Papers: this item is included in nep-ban, nep-cdm, nep-net, nep-rmg and nep-spo
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Citations: View citations in EconPapers (14)

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