Identifying interbank loans, rates, and claims networks from transactional data

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Borradores de Economía; No. 881
Date published
2015-04-17
Date of last update
2015-04-17
Author
León-Rincón, Carlos Eduardo
Cely, Jorge
Cadena-Silva, Carlos Alberto
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on fin
JEL Codes
E44 - Financial Markets and the MacroeconomyE42 - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Keywords
Furfine's method ; Interbank ; IBR ; TIB ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6170
https://hdl.handle.net/20.500.12134/6170
https://doi.org/10.32468/be.881
https://ideas.repec.org/p/bdr/borrec/881.html
https://ideas.repec.org/p/col/000094/012716.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit