Short-term liquidity contagion in the interbank market

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Borradores de Economía; No. 920

Date published

2015-12-24

Date

2015-12-24

Authors

León-Rincón, Carlos Eduardo
Martínez-Ventura, Ana Constanza
Cepeda-López, Freddy Hernán

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ISBN

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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,

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JEL Codes

G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
L14 - Transactional Relationships; Contracts and Reputation; Networks
C63 - Computational Techniques; Simulation Modeling

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Keywords

Keywords

Financial networks , Contagion , Default , Liquidity , DebtRank

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6231
 https://hdl.handle.net/20.500.12134/6231
 https://ideas.repec.org/p/bdr/borrec/920.html
 https://doi.org/10.32468/be.920

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Borradores de Economía

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

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