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

  • Laura Capera

    ()

  • Juan Sebastián Lemus

    ()

  • Dairo Estrada

    ()

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    El objetivo de este documento es describir las relaciones crediticias que tienen las entidades que participan en el mercado interbancario no colateralizado en Colombia (MINC), y analizar sus efectos sobre el riesgo de contagio. Estas relaciones se miden con los índices de preferencia del deudor (IPD) y del acreedor (IPA), los cuales identifican a las contrapartes más importantes de cada entidad. Los indicadores muestran que las entidades tienden a concentrar sus operaciones con un número reducido de agentes, y que sus relaciones con sus principales deudores y acreedores tienden a ser estables. Luego, se estiman dos modelos por regresión beta en los que los indicadores mencionados se explican en función de variables de tamaño, rentabilidad, liquidez y riesgo de crédito de las contrapartes. Las estimaciones muestran que las características del acreedor explican las preferencias de una entidad para fondearse, mientras que las variables del deudor determinan la decisión de otorgar liquidez. En particular, las entidades prefieren prestar a aquellas con mayores niveles de liquidez, al tiempo que se fondean en mayor medida con entidades menos rentables. Finalmente, se estudian los efectos de las relaciones crediticias sobre el riesgo de contagio, en un escenario en el que los participantes enfrentan un choque de liquidez simultáneo. Este choque se incorpora un modelo de optimización lineal para el período comprendido entre diciembre de 2009 y el mismo mes de 2012. A pesar de que la exposición del sistema a este riesgo es baja, se obtiene que su materialización es mayor cuando se tiene en cuenta la estructura del MINC, en comparación con un escenario en el cual las relaciones entre las entidades ocurren de manera aleatoria. Finalmente, los resultados por entidad muestran que el principal deudor del sistema se ve más afectado por el choque, mientras que los principales acreedores son menos vulnerables."

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    Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 077.

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    Handle: RePEc:bdr:temest:077
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    Web page: http://www.banrep.gov.co/publicaciones/pub_es_fin.htm
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    1. Allen, Franklin & Gale, Douglas, 1998. "Financial Contagion," Working Papers 98-33, C.V. Starr Center for Applied Economics, New York University.
    2. 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.
    3. 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.
    4. Dan Ladley, 2010. "An economic model of contagion in interbank lending markets," Discussion Papers in Economics 11/06, Department of Economics, University of Leicester, revised Dec 2010.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Ulrich Kohler & Magdalena Luniak, 2005. "Data inspection using biplots," Stata Journal, StataCorp LP, vol. 5(2), pages 208-233, June.
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