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|a Interbank network as a channel of credit contagion in banks
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|c Željko Jović, Milena Lutovac Đaković
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|a The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The spread of the infection through the banking network is a consequence of the impact of the economic connection among clients. The third group of banks (banks with high levels of credit risk) takes over the effects of systemic factors and transfers their influence to the second and the first group (banks with average and below-average credit risk level) through the banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk taking with risk capacity to a group of banks that exhibited an excessive risk propensity far beyond their own risk-taking capacity. There is also the confirmation that moral hazard was an important determinant of credit risk and an additional impulse to spread credit contagion.
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Jović, Željko, Đaković, Milena Lutovac |
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Jović, Željko, Đaković, Milena Lutovac |
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11(2022), 3 vom: Sept., Seite 117-135 |
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Journal of central banking theory and practice |
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The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The spread of the infection through the banking network is a consequence of the impact of the economic connection among clients. The third group of banks (banks with high levels of credit risk) takes over the effects of systemic factors and transfers their influence to the second and the first group (banks with average and below-average credit risk level) through the banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk taking with risk capacity to a group of banks that exhibited an excessive risk propensity far beyond their own risk-taking capacity. There is also the confirmation that moral hazard was an important determinant of credit risk and an additional impulse to spread credit contagion. |
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Jović, Željko VerfasserIn aut, Interbank network as a channel of credit contagion in banks is moral hazard transferable? Željko Jović, Milena Lutovac Đaković, 2022, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The spread of the infection through the banking network is a consequence of the impact of the economic connection among clients. The third group of banks (banks with high levels of credit risk) takes over the effects of systemic factors and transfers their influence to the second and the first group (banks with average and below-average credit risk level) through the banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk taking with risk capacity to a group of banks that exhibited an excessive risk propensity far beyond their own risk-taking capacity. There is also the confirmation that moral hazard was an important determinant of credit risk and an additional impulse to spread credit contagion., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, Credit Contagion, Interbank Network, Economic Con-nection, Moral Hazard, NPL, Aufsatz in Zeitschrift DE-206, Đaković, Milena Lutovac VerfasserIn (DE-588)1272549410 (DE-627)1822144957 aut, Enthalten in Journal of central banking theory and practice Warsaw : De Gruyter Open, 2012 11(2022), 3 vom: Sept., Seite 117-135 Online-Ressource (DE-627)721934412 (DE-600)2675850-7 (DE-576)36975459X 2336-9205 nnns, volume:11 year:2022 number:3 month:09 pages:117-135, https://sciendo.com/pdf/10.2478/jcbtp-2022-0026 Verlag kostenfrei, https://doi.org/10.2478/jcbtp-2022-0026 Resolving-System kostenfrei, https://doi.org/10.2478/jcbtp-2022-0026 LFER, https://sciendo.com/pdf/10.2478/jcbtp-2022-0026 LFER, LFER 2022-11-13T09:54:42Z |
spellingShingle |
Jović, Željko, Đaković, Milena Lutovac, Interbank network as a channel of credit contagion in banks: is moral hazard transferable?, The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The spread of the infection through the banking network is a consequence of the impact of the economic connection among clients. The third group of banks (banks with high levels of credit risk) takes over the effects of systemic factors and transfers their influence to the second and the first group (banks with average and below-average credit risk level) through the banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk taking with risk capacity to a group of banks that exhibited an excessive risk propensity far beyond their own risk-taking capacity. There is also the confirmation that moral hazard was an important determinant of credit risk and an additional impulse to spread credit contagion., Credit Contagion, Interbank Network, Economic Con-nection, Moral Hazard, NPL, Aufsatz in Zeitschrift |
title |
Interbank network as a channel of credit contagion in banks: is moral hazard transferable? |
title_auth |
Interbank network as a channel of credit contagion in banks is moral hazard transferable? |
title_full |
Interbank network as a channel of credit contagion in banks is moral hazard transferable? Željko Jović, Milena Lutovac Đaković |
title_fullStr |
Interbank network as a channel of credit contagion in banks is moral hazard transferable? Željko Jović, Milena Lutovac Đaković |
title_full_unstemmed |
Interbank network as a channel of credit contagion in banks is moral hazard transferable? Željko Jović, Milena Lutovac Đaković |
title_in_hierarchy |
Interbank network as a channel of credit contagion in banks: is moral hazard transferable? / Željko Jović, Milena Lutovac Đaković, |
title_short |
Interbank network as a channel of credit contagion in banks |
title_sort |
interbank network as a channel of credit contagion in banks is moral hazard transferable |
title_sub |
is moral hazard transferable? |
topic |
Credit Contagion, Interbank Network, Economic Con-nection, Moral Hazard, NPL, Aufsatz in Zeitschrift |
topic_facet |
Credit Contagion, Interbank Network, Economic Con-nection, Moral Hazard, NPL, Aufsatz in Zeitschrift |
url |
https://sciendo.com/pdf/10.2478/jcbtp-2022-0026, https://doi.org/10.2478/jcbtp-2022-0026 |