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1 juin 2019
- ISIDORE Id: 10670/1.9ad645...
Ce document est lié à :
10.15446/cuad.econ.v37n76.55758
info:eu-repo/semantics/openAccess
Mots-clés
Financial networks contagion default liquidity DebtRank.Sujets proches
Financial intermediaries Lending institutionsCiter ce document
Carlos León et al., « SHORT-TERM LIQUIDITY CONTAGION IN THE INTERBANK MARKET », Cuadernos de Economía, ID : 10670/1.9ad645...
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Résumé
We implement a modified version of DebtRank to recursively measure the contagion effects caused by the default of a selected financial institution. For this paper, contagion is a liquidity issue that is 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 inter-bank market to the local money market, their overall systemic importance is still to be confirmed. JEL: G21, L14, C63.
