Riesgos sistémicos en el mercado interbancario en Venezuela, 2004-2014
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Derechos de autor 2017 Semestre Económico Universidad de Medellín
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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Publicado: marzo 1, 2017
Resumen
Este trabajo muestra la aplicación del modelo núcleo-periferia para medir dos dimensiones del riesgo sistémico en el mercado interbancario venezolano: conectividad y patrones de fondeo entre bancos. El período de estudio es de interés porque contiene un episodio de ajuste financiero en el año 2009. Los resultados muestran que posterior a esta fecha, la conectividad del mercado parece haberse reducido, lo que podría redundar en menor riesgo sistémico de contagio. En contraposición, los patrones de fondeo parecen haberse modificado y sugieren que los bancos con más permanencia en el núcleo tienden a tener necesidades de liquidez crecientes, apuntando a mayor riesgo de iliquidez en dichos bancos. Asimismo, la aplicación del modelo contribuye a identificar bancos donde debe focalizarse la supervisión.
Referencias
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Solis-Montes, Mahetabel Pável (2013). The structure of the Mexican Interbnak Market. En: MIMEO. Banco de México.
Soramäki, Kimmo; Bech, Morten; Arnold, Jeffrey; Glass, Robert y Beyeler, Walter (2007). The topology of interbank payment flows. En: Physica A: Statistical Mechanics and applications, Vol. 379, No. 1, p. 317-333.
Tirole, Jean (2011). Illiquidity and all its friends. En: Journal of Economic Literature, Vol. 49, No. 2, p. 287-325.
Upper, Christian (2011). Simulation methods to assess the danger of contagion in interbank markets. En: Journal of Financial Stability, Vol. 7, No. 3, p. 111-125.
Upper, Christian y Worms, Andreas (2004). Estimating bilateral exposures in the German interbank market: is there a danger of contagion?. En: European Economic Review, Vol. 48, No. 4, p. 827-849
Yellen, Janet (2013). Vice Chair Board of Governors of the Federal Reserve System at the American Economic Association/American Finance Association Joint Luncheon. San Diego, California, 4 de enero de 2013.
Allen, Franklin y Gale, Douglas (2000). Financial Contagion. En: Journal of Political Economy, Vol. 108, No. 1, p. 1-33
Anand, Kartik; Craig, Ben y von Peter, Goetz (2014). Filling in the Blanks: Network Structure and Interbank Contagion. En: Working Paper of the Federal Reserve Bank of Cleveland, No 14-16, p. 1-15
Barabási, Albert-László (2014). Network Science. Cambridge University Press; 1 edition (August), 474p.
Barabási, Albert-László y Albert, Réka (1999). Emergence of scaling in random networks. En: Science, Vol. 286, No. 5439, p. 509–512.
Bastos e Santos, Edson y Cont, Rama (2010). The Brazilian Interbank Network Structure and Systemic Risk. En: The Banco Central do Brasil Working Paper Series 2019, 54p.
Borgatti, Stephen y Everett, Martin (1999). Models of core/periphery structures. En: Social Networks, Vol. 21, No. 4, p. 375-395.
Boss, Michael; Helmut Elsinger, Martin Summer y Stefan, Thurner (2004). Network Topology of Interbank Market. En: Quantitative Finance, Vol. 4, No. 6, p. 677-684
Cáribas, Alejandro (2011). ¿Mini crisis financiera 2009, 2010? En: Ediciones Paredes II, C.A. Caracas-Venezuela, 156p.
Craig, Ben y Von Peter, Goetz (2014). Interbank Tiering and Money Center Banks. En: Journal of Financial Intermediation, Vol. 23, No. 3, p. 322-347
Craig, Ben; Fecht, Falko y Tümer-Alkan, Günseli (2015). The role of interbank relationships and liquidity needs. En: Journal of Banking & Finance, Vol. 53, p. 99-111
Doreian, Patrick; Batagelj, Vladimir y Ferligoj, Anuška (2005). Generalized Block-modelling. Cambridge University Press, 384p.
Degryse, Hans y Nguyen, Grégory (2007). Interbank exposures: An empirical examination of contagion risk in the belgian banking system. En: International Journal of Central Banking, Vol. 3, No. 2, p. 123-171.
Erdös, Paul y Rényi, Alfréd (1959). On random graphs I. En: Publicationes Mathematicae, Vol. 6, p. 290-297.
Frait, Jan y Komárková, Zlatuše (2011). Financial stability, systemic risk and macroprudential policy. En: Financial Stability Report 2010/2011, Czech National Bank, p. 96-111.
Fricke, Daniel y Lux, Thomas (2012). Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform. En: Kiel Working Paper No.1759, 60p.
FSB, IMF, BIS (2009). Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations. En: Financial Stability Board, International Monetary Fund and Bank for International Settlements. Report to G20 Finance Ministers and Governors, October 2009, 27p.
Furfine, Craig (2003). Interbank Exposures: Quantifying the Risk of Contagion. En: Journal of Money, Credit, and Banking, Vol. 35, No. 1, p. 111-128.
in’t Veld, Daan y van Lelyveld, Iman (2014). Finding the core: Network structure in interbank markets. En: Journal of Banking & Finance, Vol. 49, No. 3, p. 27-40.
Hojman, Daniel y Szeidl, Adam (2008). Core and Periphery in Networks. En: Journal of Economic Theory, Vol. 139, No. 1, p. 295-309.
Komárková, Zlatuše; Hausenblas, Václav y Frait, J. (2012). How to identify systemically important financial institutions. En: Financial Stability Report 2011/2012, Czech National Bank, p. 100-111.
Langfield, Sam; Liu, Zijun. y Ota, Tomohiro (2014). Mapping the UK interbank system. En: Bank of England. Working paper No. 516, 38p.
León, Carlos; Lía, Clara; Cepeda, Freddy y Sarmiento, Miguel (2012). La importancia de la conectividad para identificar y medir fuentes de riesgo sistémico. En: Banco de la República. Reportes del emisor. Investigación e información económica, No. 161, 5p.
León, Carlos; Pérez, Jhonatan y Mariño, Ricardo (2015). Aproximación a la estructura del mercado cambiario colombiano desde el análisis de redes. En: Banco Central de la República de Colombia. Borradores de Economía. No. 867, 26p.
Liu, Zijun y Quiet, Stephanie (2015). Banking sector interconnectedness: what is it, how can we measure it and why does it matter?. En: Bank of England Quarterly Bulletin, Vol. 55, No 2, 9p.
Minoiu, Camelia (2012). Atrapados en la red. En: Finanzas & Desarrollo, Septiembre 2012, Fondo Monetario Internacional, Vol. 49, No. 3, p. 15-17.
Pagliacci, Carolina (2008). El Mercado venezolano de fondos overnight: un Mercado de órdenes limitadas con restricciones al crédito. En: Banco Central de Venezuela. Colección Economía y Finanzas. Serie Documentos de Trabajo, No. 96, 18p.
Solis-Montes, Mahetabel Pável (2013). The structure of the Mexican Interbnak Market. En: MIMEO. Banco de México.
Soramäki, Kimmo; Bech, Morten; Arnold, Jeffrey; Glass, Robert y Beyeler, Walter (2007). The topology of interbank payment flows. En: Physica A: Statistical Mechanics and applications, Vol. 379, No. 1, p. 317-333.
Tirole, Jean (2011). Illiquidity and all its friends. En: Journal of Economic Literature, Vol. 49, No. 2, p. 287-325.
Upper, Christian (2011). Simulation methods to assess the danger of contagion in interbank markets. En: Journal of Financial Stability, Vol. 7, No. 3, p. 111-125.
Upper, Christian y Worms, Andreas (2004). Estimating bilateral exposures in the German interbank market: is there a danger of contagion?. En: European Economic Review, Vol. 48, No. 4, p. 827-849
Yellen, Janet (2013). Vice Chair Board of Governors of the Federal Reserve System at the American Economic Association/American Finance Association Joint Luncheon. San Diego, California, 4 de enero de 2013.
