Short-Term Liquidity Contagion in the Interbank Market
| Autor: | Carlos León, Constanza Martínez-Ventura, Freddy Cepeda-López |
|---|---|
| Jazyk: | English<br />Spanish; Castilian |
| Rok vydání: | 2019 |
| Předmět: | |
| Zdroj: | Cuadernos de Economía, Vol 38, Iss 76, Pp 51-80 (2019) |
| Druh dokumentu: | article |
| ISSN: | 0121-4772 2248-4337 |
| DOI: | 10.15446/cuad.econ.v38n76.55758 |
| Popis: | 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. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
|