Short-term liquidity contagion in the interbank market

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dc.coverage.sucursalBogotáspa
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creatorMartínez-Ventura, Ana Constanza
dc.creatorCepeda-López, Freddy Hernán
dc.creator.firmaFreddy Cepeda-Lopez
dc.creator.firmaCarlos León
dc.creator.firmaConstanza Martínez
dc.date.accessioned2015-12-24T08:30:10Zeng
dc.date.available2015-12-24T08:30:10Zspa
dc.date.created2015-12-24spa
dc.date.issued2015-12-24eng
dc.description.abstractWe 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,eng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6231spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6231spa
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.920spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/014167.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 920spa
dc.relation.numberBorrador 920spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/920.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:col:000094:014167spa
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgageseng
dc.subject.jelL14 - Transactional Relationships; Contracts and Reputation; Networkseng
dc.subject.jelC63 - Computational Techniques; Simulation Modelingeng
dc.subject.jelspaC63 - Técnicas de computación; modelos de simulaciónspa
dc.subject.jelspaL14 - Relaciones de transacción; Contratos y reputación; Redesspa
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecasspa
dc.subject.keywordFinancial networkseng
dc.subject.keywordContagioneng
dc.subject.keywordDefaulteng
dc.subject.keywordLiquidityeng
dc.subject.keywordDebtRankeng
dc.subject.lembMercado interbancario -- Colombiaspa
dc.subject.lembLiquidez bancaria -- Colombiaspa
dc.subject.lembRedes financieras -- Colombiaspa
dc.titleShort-term liquidity contagion in the interbank marketeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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