Banks’ interconnections and peer effects: Evidence from Chile

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dc.contributor.authorMargaretic, Paula
dc.contributor.authorCifuentes, Rodrigo
dc.contributor.authorCarreño, José Gabriel
dc.date.accessioned2023-01-03T19:33:29Z
dc.date.available2023-01-03T19:33:29Z
dc.date.issued2021
dc.description.abstractIn this paper, we identify and quantify the importance of endogenous peer effects in the interbank market, allowing for varying degrees of intensity of these peer effects. We base our analysis on a unique dataset that includes all interbank loans that have taken place between 15 banks in the Chilean interbank market representing more than 95% of the market between 2009 and 2016. This approach contrasts sharply with the geographical definition of peers used by most of the literature. As an application of our model, we examine an episode of liquidity shortage experienced by one Chilean bank in the interbank market, with the lenses of our model. We show evidence consistent with a herding behavior of the lender banks which, according to our model, were peers of the stressed bank
dc.description.versionVersión Publicada
dc.identifier.citationMargaretic, Paula; Cifuentes, Rodrigo; José Gabriel. Banks' interconnections and peer effects: Evidence from Chile. Research in International Business and Finance, Volume 58, December 2021
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2021.101438
dc.identifier.urihttps://repositorio.udd.cl/handle/11447/6879
dc.language.isoen
dc.subjectEndogenous peer effects
dc.subjectFinancial interconnections
dc.subjectInterbank market
dc.subjectHeterogeneous spatial autoregressive model
dc.titleBanks’ interconnections and peer effects: Evidence from Chile
dc.typeArticle
dcterms.sourceResearch in International Business and Finance

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