A Market Risk Approach to Liquidity Risk and Financial Contagion

Borradores de Economia
Number: 
384
Published: 
Classification JEL: 
G21, G33, L14
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

The most recent

Luis Armando Galvis-Aponte, Adriana Marcela Rivera-Zárate
Daniel Herrera-Araujo, Jorge Florez-Acosta
Diego Fernando Cuesta-Mora, Fredy Alejandro Gamboa-Estrada, Camilo Eduardo Sánchez-Quinto

According to traditional literature, liquidity risk in individual banks can turn into a system-wide financial crisis when either interbank credit exposures or bank runs are present. This paper shows that this phenomenon can also arise when individual liqu