Identifying central bank liquidity super-spreaders in interbank funds networks
AbstractEvidence suggests that the Colombian interbank funds market is an inhomogeneous and hierarchical network in which a few financial institutions fulfill the role of “super-spreaders” of central bank liquidity among market participants. Results concur with evidence from other interbank markets and other financial networks regarding the flaws of traditional direct financial contagion models based on homogeneous and non-hierarchical networks, and provide further evidence about financial networks’ self-organization emerging from complex adaptive financial systems. Our research work contributes to central bank’s efforts by (i) examining and characterizing the actual connective structure of interbank funds networks; (ii) identifying those financial institutions that may be considered as the most important conduits for monetary policy transmission, and the main drivers of contagion risk within the interbank funds market; (iii) providing new elements for the implementation of monetary policy and for safeguarding financial stability.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 011187.
Date of creation: 28 Apr 2014
Date of revision:
Contact details of provider:
Interbank; monetary policy; contagion; networks; super-spreader; central bank.;
Other versions of this item:
- Carlos León & Clara Machado & Miguel Sarmiento, 2014. "Identifying central bank liquidity super-spreaders in interbank funds networks," Borradores de Economia 816, Banco de la Republica de Colombia.
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G2 - Financial Economics - - Financial Institutions and Services
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-17 (All new papers)
- NEP-BAN-2014-05-17 (Banking)
- NEP-CBA-2014-05-17 (Central Banking)
- NEP-MAC-2014-05-17 (Macroeconomics)
- NEP-MON-2014-05-17 (Monetary Economics)
- NEP-NET-2014-05-17 (Network Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Camilo GOnzález & Luisa Silva & Carmiña Vargas & Andrés Velasco, 2013.
"Uncertainty in the Money supply mechanism and interbank markets in Colombia,"
Borradores de Economia
790, Banco de la Republica de Colombia.
- Camilo González & Luisa Silva & Carmiña Vargas & Andrés M. Velasco, 2014. "Uncertainty in the Money Supply Mechanism and Interbank Markets in Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
- Camilo González & Luisa Silva & Carmiña Vargas & Andrés M. Velasco, 2013. "Uncertainty in the Money supply mechanism and interbank markets in Colombia," BORRADORES DE ECONOMIA 011094, BANCO DE LA REPÚBLICA.
- Rochet, Jean-Charles & Tirole, Jean, 1996.
"Interbank Lending and Systemic Risk,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 28(4), pages 733-62, November.
- Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati, 2013. "The Interrupted Power Law and The Size of Shadow Banking," Papers 1309.2130, arXiv.org, revised Apr 2014.
- Rodrigo Cifuentes & Gianluigi Ferrucci & Hyun Song Shin, 2005.
"Liquidity risk and contagion,"
Bank of England working papers
264, Bank of England.
- Pamela cardozo Ortiz & carlos A. Huertas Campos & Julián A. Parra POlanía & Lina V. Patiño ECheverri, .
"Mercado interbancario colombiano y manejo de liquidez del Banco de la República,"
Borradores de Economia
673, Banco de la Republica de Colombia.
- Pamela A. Cardozo & Carlos A. Huertas C. & Julián A. Parra P. & Lina V. Patiño Echeverri, 2011. "Mercado interbancario colombiano y manejo de liquidez del Banco de la República," BORRADORES DE ECONOMIA 009017, BANCO DE LA REPÚBLICA.
- Cocco, João F. & Gomes, Francisco J. & Martins, Nuno C., 2009. "Lending relationships in the interbank market," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 24-48, January.
- Battiston, Stefano & Gatti, Domenico Delli & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012.
"Default cascades: When does risk diversification increase stability?,"
Journal of Financial Stability,
Elsevier, vol. 8(3), pages 138-149.
- Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Joseph E. Stiglitz, . "Default Cascades: When Does Risk Diversification Increase Stability?," Working Papers ETH-RC-11-006, ETH Zurich, Chair of Systems Design.
- Kimmo Soramaki & Morten L. Bech & Jeffrey Arnold & Robert J. Glass & Walter Beyeler, 2006.
"The topology of interbank payment flows,"
243, Federal Reserve Bank of New York.
- Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007. "The topology of interbank payment flows," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 317-333.
- Co-Pierre Georg & Jenny Poschmann, 2010. "Systemic risk in a network model of interbank markets with central bank activity," Jena Economic Research Papers 2010-033, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
- Franklin Allen & Elena Carletti & Douglas Gale, 2009.
"Interbank Market Liquidity and Central Bank Intervention,"
Economics Working Papers
ECO2009/09, European University Institute.
- Allen, Franklin & Carletti, Elena & Gale, Douglas, 2009. "Interbank market liquidity and central bank intervention," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 639-652, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Norma Judith Paternina).
If references are entirely missing, you can add them using this form.