Systemic risk in the Venezuelan Interbank Market, 2004-2014
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Copyright (c) 2017 Semestre Económico Universidad de Medellín
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
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Published: March 1, 2017
Abstract
This paper presents a core-periphery model application for measuring two systemic risk dimensions in the Venezuelan inter-bank market: connectivity and funding patterns between banks. The period of study is of special interest given that it includes a financial adjustment during 2009. Results evidence that after this date, market connectivity seems to have dropped, which could lead to a smaller systemic risk spread. In the other hand, funding patterns seem to have been modified and suggest that banks, which belong to the core, tend to present increasing liquidity needs, which increases the liquidity risks of this banks. Likewise, the model application helps to identify which banks should be more closely supervised.
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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.
