Short-Term Liquidity Contagion in the Interbank Market

Número: 
920
Publicado: 
Clasificación JEL: 
G21, L14, C63
Palabras clave: 
Financial Networks, Contagion, default, Liquidity

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,