Published

2019-01-01

Short-Term Liquidity Contagion in the Interbank Market

Contagio de liquidez a corto plazo en el mercado interbancario

Contágio de liquidez a curto prazo no mercado interbancário

DOI:

https://doi.org/10.15446/cuad.econ.v38n76.55758

Keywords:

financial networks, contagion, default, liquidity, DebtRank. (en)
redes financieras, contagio, cesación de pagos, liquidez, DebtRank. (es)
redes financeiras, contágio, cessação de pagamentos, liquidez, DebtRank. (pt)

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Authors

  • Carlos León Banco de la República
  • Constanza Martínez-Ventura Banco de la República
  • Freddy Cepeda-López Banco de la República
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.

Implementamos una versión modificada de DebtRank para medir de manera recursiva los efectos de contagio causados por la cesación de pagos de una institución financiera. En nuestro caso, el contagio es un problema de liquidez, medido como la caída en la liquidez de corto plazo de las instituciones en la red interbancaria colombiana. Encontramos que sus efectos negativos están concentrados en pocas instituciones. Pero como estos en su mayoría son condicionales a la ocurrencia de
eventos improbables de iliquidez generalizada, y debido a la contribución subsidiaria del mercado interbancario al mercado monetario local, su importancia sistémica total está aún por confirmarse.

Implementamos uma versão modificada de DebtRank para medir de maneira recursiva os efeitos de contágio causados pela cessação de pagamentos de uma instituição financeira. Em nosso caso, o contágio é um problema de liquidez, medido como a queda na liquidez de curto prazo das instituições na rede interbancária colombiana. Constatamos que seus efeitos negativos estão concentrados em poucas instituições. Mas como estes, na maioria são condicionais à ocorrência de eventos improváveis de iliquidez generalizada, e devido à contribuição subsidiária do mercado interbancário ao mercado monetário local, sua importância sistêmica total ainda deve ser confirmada.

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How to Cite

APA

León, C., Martínez-Ventura, C. and Cepeda-López, F. (2019). Short-Term Liquidity Contagion in the Interbank Market. Cuadernos de Economía, 38(76), 51–80. https://doi.org/10.15446/cuad.econ.v38n76.55758

ACM

[1]
León, C., Martínez-Ventura, C. and Cepeda-López, F. 2019. Short-Term Liquidity Contagion in the Interbank Market. Cuadernos de Economía. 38, 76 (Jan. 2019), 51–80. DOI:https://doi.org/10.15446/cuad.econ.v38n76.55758.

ACS

(1)
León, C.; Martínez-Ventura, C.; Cepeda-López, F. Short-Term Liquidity Contagion in the Interbank Market. Cuad. econ 2019, 38, 51-80.

ABNT

LEÓN, C.; MARTÍNEZ-VENTURA, C.; CEPEDA-LÓPEZ, F. Short-Term Liquidity Contagion in the Interbank Market. Cuadernos de Economía, [S. l.], v. 38, n. 76, p. 51–80, 2019. DOI: 10.15446/cuad.econ.v38n76.55758. Disponível em: https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758. Acesso em: 22 jul. 2024.

Chicago

León, Carlos, Constanza Martínez-Ventura, and Freddy Cepeda-López. 2019. “Short-Term Liquidity Contagion in the Interbank Market”. Cuadernos De Economía 38 (76):51-80. https://doi.org/10.15446/cuad.econ.v38n76.55758.

Harvard

León, C., Martínez-Ventura, C. and Cepeda-López, F. (2019) “Short-Term Liquidity Contagion in the Interbank Market”, Cuadernos de Economía, 38(76), pp. 51–80. doi: 10.15446/cuad.econ.v38n76.55758.

IEEE

[1]
C. León, C. Martínez-Ventura, and F. Cepeda-López, “Short-Term Liquidity Contagion in the Interbank Market”, Cuad. econ, vol. 38, no. 76, pp. 51–80, Jan. 2019.

MLA

León, C., C. Martínez-Ventura, and F. Cepeda-López. “Short-Term Liquidity Contagion in the Interbank Market”. Cuadernos de Economía, vol. 38, no. 76, Jan. 2019, pp. 51-80, doi:10.15446/cuad.econ.v38n76.55758.

Turabian

León, Carlos, Constanza Martínez-Ventura, and Freddy Cepeda-López. “Short-Term Liquidity Contagion in the Interbank Market”. Cuadernos de Economía 38, no. 76 (January 1, 2019): 51–80. Accessed July 22, 2024. https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758.

Vancouver

1.
León C, Martínez-Ventura C, Cepeda-López F. Short-Term Liquidity Contagion in the Interbank Market. Cuad. econ [Internet]. 2019 Jan. 1 [cited 2024 Jul. 22];38(76):51-80. Available from: https://revistas.unal.edu.co/index.php/ceconomia/article/view/55758

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1. Benjamin Miranda Tabak, Thiago Christiano Silva, Marcelo Estrela Fiche, Tércio Braz. (2021). Citation likelihood analysis of the interbank financial networks literature: A machine learning and bibliometric approach. Physica A: Statistical Mechanics and its Applications, 562, p.125363. https://doi.org/10.1016/j.physa.2020.125363.

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