Short-Term Liquidity Contagion in the Interbank Market

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...

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Bibliographic Details
Main Authors: Carlos León, Constanza Martínez-Ventura, Freddy Cepeda-López
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2019-01-01
Series:Cuadernos de Economía
Subjects:
financial networks
contagion
default
liquidity
DebtRank.
Online Access:https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758

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