CoMap: Mapping Contagion in the Euro Area Banking Sector

Author/Editor:

Mehmet Ziya Gorpe ; Giovanni Covi ; Christoffer Kok

Publication Date:

May 10, 2019

Electronic Access:

Free Full Text. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Series:

Working Paper No. 19/102

English

Publication Date:

May 10, 2019

ISBN/ISSN:

9781498312073/1018-5941

Stock No:

WPIEA2019102

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

63

Please address any questions about this title to publications@imf.org