Short-term liquidity contagion in the interbank market

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Borradores de Economía; No. 920
Date published
2015-12-24
Date of last update
2015-12-24
Author
León-Rincón, Carlos Eduardo
Martínez-Ventura, Ana Constanza
Cepeda-López, Freddy Hernán
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 implement a modified version of DebtRank, a measure of systemic impact inspired in feedback centrality, to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue,
JEL Codes
G21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesL14 - Transactional Relationships; Contracts and Reputation; NetworksC63 - Computational Techniques; Simulation Modeling
Keywords
Financial networks ; Contagion ; Default ; Liquidity ; DebtRank ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6231
https://hdl.handle.net/20.500.12134/6231
https://doi.org/10.32468/be.920
https://ideas.repec.org/p/bdr/borrec/920.html
https://ideas.repec.org/p/col/000094/014167.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