Liedorp, F.R.; Medema, L.; Koetter, M.; Koning, R.H.; … - de Nederlandsche Bank - 2010
We test if interconnectedness in the interbank market is a channel through which banks affect each others riskiness. The evidence is based on quarterly bilateral exposures of all banks active in the Dutch interbank market between 1998 and 2008. A spatial lag model, borrowed from regional...