IDEAS home Printed from https://ideas.repec.org/a/col/000107/009972.html
   My bibliography  Save this article

Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos

Author

Listed:
  • Clara Machado
  • Carlos León
  • Miguel Sarmiento
  • Freddy Cepeda
  • Orlando Chipatecua
  • Jorge Cely

Abstract

Este artículo estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los mecanismos de liquidez que brinda el Banco de la República. De acuerdo con la literatura reciente, las entidades sistémica¬mente importantes se identifican bajo el concepto de too-connected-to-fail (TCTF) para diferentes escenarios de volatilidad del mercado de TES y de actividad del SP. La estabilidad del SP se evalúa mediante topología de redes (TR) y un modelo de simulación de pagos (MSP), el cual incorpora un algoritmo de resolución de colas recursivo tipo First In First Out (FIFO) y un algoritmo de compensación multilateral.

Suggested Citation

  • Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(65), pages 106-175, June.
    • Handle: RePEc:col:000107:009972
    DOI: 10.32468/Espe.6503
    as

    Download full text from publisher

    File URL: https://doi.org/10.32468/Espe.6503
    Download Restriction: no
    File URL: https://libkey.io/10.32468/Espe.6503?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. repec:zbw:bofism:2005_031 is not listed on IDEAS
    2. Hajime Inaoka & Takuto Ninomiya & Ken Taniguchi & Tokiko Shimizu & Hideki Takayasu, 2004. "Fractal Network derived from banking transaction -- An analysis of network structures formed by financial institutions --," Bank of Japan Working Paper Series 04-E-4, Bank of Japan.
    3. Jean-Charles Rochet & Xavier Vives, 2004. "Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?," Journal of the European Economic Association, MIT Press, vol. 2(6), pages 1116-1147, December.
    4. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1135-1164, December.
    5. Carlos León & Clara Machado & Freddy cepeda & Miguel Sarmiento, 2011. "Too-connected-to-fail Institutions and Payments System´s Stability: Assessing Challenges for Financial Authorities," Borradores de Economia 8155, Banco de la Republica.
    6. Docherty, Peter & Wang, Gehong, 2010. "Using synthetic data to evaluate the impact of RTGS on systemic risk in the Australian payments system," Journal of Financial Stability, Elsevier, vol. 6(2), pages 103-117, June.
    7. 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.
    8. Marius Jurgilas & Antoine Martin, 2013. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Annals of Finance, Springer, vol. 9(1), pages 29-60, February.
    9. Ronald Heijmans, 2009. "Simulations in the Dutch interbank payment system: A sensitivity analysis," DNB Working Papers 199, Netherlands Central Bank, Research Department.
    10. Jorge E. Galán Camacho & Miguel Sarmiento Paipilla, 2007. "Staff, Functions, and Staff Costs at Central Banks: an International Comparison with a Labor- Demand Model," Money Affairs, CEMLA, vol. 0(2), pages 131-179, July-Dece.
    11. Stephen G. Cecchetti & Piti Disyatat, 2010. "Central bank tools and liquidity shortages," Economic Policy Review, Federal Reserve Bank of New York, vol. 16(Aug), pages 29-42.
    12. Becher, Christopher & Millard, Stephen & SoramÃÂäki, Kimmo, 2008. "The network topology of CHAPS Sterling," Bank of England working papers 355, Bank of England.
    13. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
    14. Gara Afonso & Hyun Song Shin, 2011. "Precautionary Demand and Liquidity in Payment Systems," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s2), pages 589-619, October.
    15. Asani Sarkar, 2009. "Liquidity risk, credit risk, and the federal reserve’s responses to the crisis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(4), pages 335-348, December.
    16. Alejandro Reveiz & Carlos Eduardo León Rincón, 2008. "Índice representativo del mercado de deuda pública interna: IDXTES," Borradores de Economia 488, Banco de la Republica de Colombia.
    17. Bech, Morten L. & Atalay, Enghin, 2010. "The topology of the federal funds market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5223-5246.
    18. Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "An Empirical Analysis of the Network Structure of the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 7, pages 77-87.
    19. Morten L. Bech & Rodney J. Garratt, 2012. "Illiquidity in the Interbank Payment System Following Wide‐Scale Disruptions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 903-929, August.
    20. Rafael Repullo, 2005. "Liquidity, Risk Taking, and the Lender of Last Resort," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
    21. Merrouche, Ouarda & Schanz, Jochen, 2010. "Banks' intraday liquidity management during operational outages: Theory and evidence from the UK payment system," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 314-323, February.
    22. Alejandro Reveiz Herault & Carlos Eduardo León Rincón, 2008. "Índice representativo del mercado de deuda pública interna: IDXTES," Borradores de Economia 4522, Banco de la Republica.
    23. Mr. Jorge A Chan-Lau, 2010. "Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal," IMF Working Papers 2010/098, International Monetary Fund.
    24. Flannery, Mark J, 1996. "Financial Crises, Payment System Problems, and Discount Window Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 804-824, November.
    25. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, September.
    26. Dairo Estrada & Paola Morales Acevedo, 2008. "La estructura del mercado interbancario y del riesgo de contagio en Colombia," Temas de Estabilidad Financiera 030, Banco de la Republica de Colombia.
    27. Ágnes Lublóy, 2006. "Topology of the Hungarian large-value transfer system," MNB Occasional Papers 2006/57, Magyar Nemzeti Bank (Central Bank of Hungary).
    28. Christopher Becher & Marco Galbiati & Merxe Tudela, 2008. "The timing and funding of CHAPS sterling payments," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 113-133.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 1-22, December.
    2. Joaquin Bernal & Freddy Cepeda L. & Fabio Ortega C., 2011. "Cuantificación de la contribución de las fuentes de liquidez en el Sistema de Pagos de Alto Valor en Colombia: una aproximación preliminar," Borradores de Economia 683, Banco de la Republica de Colombia.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 7669, Banco de la Republica.
    2. Teteryatnikova, Mariya, 2014. "Systemic risk in banking networks: Advantages of “tiered” banking systems," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 186-210.
    3. Ms. Sheri M. Markose, 2012. "Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax," IMF Working Papers 2012/282, International Monetary Fund.
    4. Caceres-Santos, Jonnathan & Rodriguez-Martinez, Anahi & Caccioli, Fabio & Martinez-Jaramillo, Serafin, 2020. "Systemic risk and other interdependencies among banks in Bolivia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    5. Jonnathan Cáceres Santos & René Aldazosa Inchauste, 2013. "Analizando el riesgo sistémico en Bolivia: una aplicación de modelos de topología de redes y simulación al funcionamiento del Sistema de Pagos de Alto Valor," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 17(2(2012)-1), pages 45-80, January.
    6. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    7. Carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," Borradores de Economia 11104, Banco de la Republica.
    8. Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 115-139, Springer.
    9. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    10. Leventides, John & Loukaki, Kalliopi & Papavassiliou, Vassilios G., 2019. "Simulating financial contagion dynamics in random interbank networks," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 500-525.
    11. Caballero, Julián, 2012. "Banking Crises and Financial Integration," IDB Publications (Working Papers) 4198, Inter-American Development Bank.
    12. Adams, Mark & Galbiati, Marco & Giansante, Simone, 2010. "Liquidity costs and tiering in large-value payment systems," Bank of England working papers 399, Bank of England.
    13. Constanza Martínez & Freddy Cepeda, 2015. "Reaction Functions of the Participants in Colombia’s Large-value Payment System," Borradores de Economia 12651, Banco de la Republica.
    14. Marc Pröpper & Iman van Lelyveld & Ronald Heijmans, 2008. "Towards a Network Description of Interbank Payment Flows," DNB Working Papers 177, Netherlands Central Bank, Research Department.
    15. Carlos Castro & Juan Sebastian Ordonez, 2012. "A Network model of systemic risk: identifying the sources of dependence across institutions," Documentos de Trabajo 9651, Universidad del Rosario.
    16. Biliana Alexandrova‐Kabadjova, 2016. "Currents of Liquidity Flows Created by the Different Type of Payments: the Case of SPEI," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 65-84, January.
    17. Wetherilt, Anne & Zimmerman, Peter & Soramaki, Kimmo, 2010. "The sterling unsecured loan market during 2006-08: insights from network theory," Bank of England working papers 398, Bank of England.
    18. Makoto (M.) Watanabe & Tarishi Matsuoka, 2019. "Banking Panics and the Lender of Last Resort in a Monetary Economy," Tinbergen Institute Discussion Papers 19-002/V, Tinbergen Institute.
    19. Ricardo Mariño-Martínez & Carlos León & Carlos Cadena-Silva, 2020. "Las entidades de contrapartida central en la mitigación del riesgo de contraparte y de liquidez: El caso de los derivados cambiarios en Colombia," Borradores de Economia 1101, Banco de la Republica de Colombia.
    20. Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012. "Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 184-217, April.

    More about this item

    Keywords

    sistema de pago; riesgo sistémico; topología de redes; modelos de simulación; política monetaria; prestamista de última instancia; too-connected-to-fail.;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000107:009972. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Espe (email available below). General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.