Short-Term Liquidity Contagion in the Interbank Market
We implement a modified version of DebtRank to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue, measured as the decrease in financial institutions’ short-term liquidity position across the Colombian inter...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Nacional de Colombia
2019-01-01
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| Series: | Cuadernos de Economía |
| Subjects: | |
| Online Access: | https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758 |