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Riesgos sistémicos en el mercado interbancario en Venezuela: 2004-2014
[Systemic risk in the Venezuelan interbank market: 2004-2014]

Author

Listed:
  • Pagliacci, Carolina
  • Peña, Jennifer

Abstract

This paper uses a core-periphery model for measuring two systemic risk dimensions in the Venezuelan interbank market: connectivity and funding patterns between banks. The period analyzed is particularly interesting because it includes an episode of financial adjustment induced by regulators in 2009. Results show that after this date, market connectivity dropped, leading to a smaller systemic risk. On the other hand, funding patterns changed, suggesting that banks in the core increased their liquidity needs. Those new patterns rise systemic risk. The model estimation also helps identify which banks require closer supervision by the authorities.

Suggested Citation

  • Pagliacci, Carolina & Peña, Jennifer, 2016. "Riesgos sistémicos en el mercado interbancario en Venezuela: 2004-2014 [Systemic risk in the Venezuelan interbank market: 2004-2014]," MPRA Paper 106548, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106548
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    References listed on IDEAS

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    More about this item

    Keywords

    core-periphery model; interbank market; systemic risk;
    All these keywords.

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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