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Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

In: Política monetaria y estabilidad financiera en economías pequeñas y abiertas

Author

Listed:
  • Capera-Romero, Laura
  • Lemus-Esquivel, Juan Sebastián
  • Estrada, Dairo Ayiber

Abstract

Se analizan las relaciones crediticias del mercado interbancario no colaterizado en Colombia, los determinantes y los efectos sobre el riesgo de contagio, utilizando información entre diciembre 2009 y el mismo mes de 2012.

Suggested Citation

  • Capera-Romero, Laura & Lemus-Esquivel, Juan Sebastián & Estrada, Dairo Ayiber, 2015. "Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano," Chapters, in: Gómez-González, José Eduardo & Ojeda-Joya, Jair N. (ed.), Política monetaria y estabilidad financiera en economías pequeñas y abiertas, chapter 18, pages 559-616, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:bdrcap:2015-11-559-616
    DOI: 10.32468/Ebook.664-314-6
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    References listed on IDEAS

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    1. Xavier Freixas & Antoine Martin & David Skeie, 2011. "Bank Liquidity, Interbank Markets, and Monetary Policy," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2656-2692.
    2. Patricia Espinheira & Silvia Ferrari & Francisco Cribari-Neto, 2008. "On beta regression residuals," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(4), pages 407-419.
    3. Franklin Allen & Douglas Gale, 2000. "Financial Contagion," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 1-33, February.
    4. Silvia Ferrari & Francisco Cribari-Neto, 2004. "Beta Regression for Modelling Rates and Proportions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(7), pages 799-815.
    5. Pamela cardozo Ortiz & carlos A. Huertas Campos & Julián A. Parra POlanía & Lina V. Patiño ECheverri, 2011. "Mercado interbancario colombiano y manejo de liquidez del Banco de la República," Borradores de Economia 673, Banco de la Republica de Colombia.
    6. 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.
    7. 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.
    8. 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.
    9. Ladley, Daniel, 2013. "Contagion and risk-sharing on the inter-bank market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1384-1400.
    10. Ulrich Kohler & Magdalena Luniak, 2005. "Data inspection using biplots," Stata Journal, StataCorp LP, vol. 5(2), pages 208-233, June.
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    Citations

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    Cited by:

    1. 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.
    2. Miguel Sarmiento & Jorge Cely & Carlos León, 2015. "Monitoring the Unsecured Interbank Funds Market," Borradores de Economia 14080, Banco de la Republica.
    3. León, Carlos & Miguélez, Javier, 2021. "Interbank relationship lending revisited: Are the funds available at a similar price?," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Camilo González Sabogal, 2014. "Un mecanismo para lograr la participación de los bancos en los mercados interbancarios no colateralizados," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(73), pages 17-35, July.
    5. Carlos León & Javier Miguélez, 2020. "Interbank relationship lending in Colombia," Borradores de Economia 1118, Banco de la Republica de Colombia.
    6. Sarmiento, Miguel & Cely, Jorge & León, Carlos, 2017. "An early warning indicator system to monitor the unsecured interbank funds market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 114-128.
    7. León, Carlos & Miguélez, Javier, 2021. "Interbank relationship lending: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    8. León, C., 2015. "Financial stability from a network perspective," Other publications TiSEM bb2e4e44-e842-45c6-a946-4, Tilburg University, School of Economics and Management.

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    More about this item

    Keywords

    Contagio financiero; Crédito; Bancos; Préstamos; Colombia; Financial contagion; Credit; Banks; Loans; Colombia;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • D59 - Microeconomics - - General Equilibrium and Disequilibrium - - - Other

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