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Interbank network as a channel of credit contagion in banks: is moral hazard transferable?

Published in: Journal of central banking theory and practice volume:11; 11(2022), 3 vom: Sept., Seite 117-135; year:2022; month:09; pages:117-135; number:3
Authors and Corporations: Jović, Željko (Author), Đaković, Milena Lutovac (Author)
Title: Interbank network as a channel of credit contagion in banks: is moral hazard transferable?/ Željko Jović, Milena Lutovac Đaković
Language: English
published:
2022
Series: Journal of central banking theory and practice, 11(2022), 3 vom: Sept., Seite 117-135
ISSN: 2336-9205
DOI: 10.2478/jcbtp-2022-0026
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author Jović, Željko, Đaković, Milena Lutovac
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container_reference volume:11; 11(2022), 3 vom: Sept., Seite 117-135; year:2022; month:09; pages:117-135; number:3
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contents 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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spelling 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 epn:421006520X 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?
title_unstemmed Interbank network as a channel of credit contagion in banks: 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
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