Short-Term Liquidity Contagion in the Interbank Market

Borradores de Economia
Number: 
920
Published: 
Classification JEL: 
G21, L14, C63
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

We implement a modified version of DebtRank, a measure of systemic impact inspired in feedback centrality, to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue,