Resumo

LEON, Carlos; MARTINEZ, Constanza  e  CEPEDA, Freddy. SHORT-TERM LIQUIDITY CONTAGION IN THE INTERBANK MARKET. Cuad. Econ. [online]. 2019, vol.38, n.76, pp.51-79. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v37n76.55758.

We implement a modified version of DebtRank to recursively measure the contagion effects caused by the default of a selected financial institution. For this paper, contagion is a liquidity issue that is measured as the decrease in financial institutions’ short-term liquidity position across the Colombian interbank network. We find that contagion negative effects are concentrated in a few financial institutions. However, as most of their impact is conditional on the occurrence of unlikely major widespread illiquidity events, and due to the subsidiary contribution of the inter-bank market to the local money market, their overall systemic importance is still to be confirmed.

JEL: G21, L14, C63.

Palavras-chave : Financial networks; contagion; default; liquidity; DebtRank..

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