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 |
| _version_ | 1819047226531381248 |
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| author | Carlos León Constanza Martínez-Ventura Freddy Cepeda-López |
| author_facet | Carlos León Constanza Martínez-Ventura Freddy Cepeda-López |
| author_sort | Carlos León |
| collection | DOAJ |
| description | 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 interbank network. We find that contagion negative effects are concentrated in a few financial institutions. However, as most of their impact is conditional on the occurrence of unlikely major widespread illiquidity events, and due to the subsidiary contribution of the interbank market to the local money market, their overall systemic importance is still to be confirmed. |
| first_indexed | 2024-12-21T10:57:00Z |
| format | Article |
| id | doaj.art-f7a31e82c5bf498fbfe2c9f9a10e62c4 |
| institution | Directory Open Access Journal |
| issn | 0121-4772 2248-4337 |
| language | English |
| last_indexed | 2024-12-21T10:57:00Z |
| publishDate | 2019-01-01 |
| publisher | Universidad Nacional de Colombia |
| record_format | Article |
| series | Cuadernos de Economía |
| spelling | doaj.art-f7a31e82c5bf498fbfe2c9f9a10e62c42022-12-21T19:06:29ZengUniversidad Nacional de ColombiaCuadernos de Economía0121-47722248-43372019-01-013876518010.15446/cuad.econ.v38n76.5575850227Short-Term Liquidity Contagion in the Interbank MarketCarlos León0Constanza Martínez-Ventura1Freddy Cepeda-López2Financial Infrastructure Oversight Department at Banco de la República; CentER, Tilburg UniversityBanco de la República, Financial Infrastructure Oversight DepartmentBanco de la República, Financial Infrastructure Oversight DepartmentWe 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 interbank network. We find that contagion negative effects are concentrated in a few financial institutions. However, as most of their impact is conditional on the occurrence of unlikely major widespread illiquidity events, and due to the subsidiary contribution of the interbank market to the local money market, their overall systemic importance is still to be confirmed.https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758financial networkscontagiondefaultliquidityDebtRank. |
| spellingShingle | Carlos León Constanza Martínez-Ventura Freddy Cepeda-López Short-Term Liquidity Contagion in the Interbank Market Cuadernos de Economía financial networks contagion default liquidity DebtRank. |
| title | Short-Term Liquidity Contagion in the Interbank Market |
| title_full | Short-Term Liquidity Contagion in the Interbank Market |
| title_fullStr | Short-Term Liquidity Contagion in the Interbank Market |
| title_full_unstemmed | Short-Term Liquidity Contagion in the Interbank Market |
| title_short | Short-Term Liquidity Contagion in the Interbank Market |
| title_sort | short term liquidity contagion in the interbank market |
| topic | financial networks contagion default liquidity DebtRank. |
| url | https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758 |
| work_keys_str_mv | AT carlosleon shorttermliquiditycontagionintheinterbankmarket AT constanzamartinezventura shorttermliquiditycontagionintheinterbankmarket AT freddycepedalopez shorttermliquiditycontagionintheinterbankmarket |