Riesgos sistémicos en el mercado interbancario en Venezuela: 2004-2014

Pagliacci, Carolina and Peña, Jennifer (2016): Riesgos sistémicos en el mercado interbancario en Venezuela: 2004-2014. Published in: Semestre Económico , Vol. 20, No. 42 (23 January 2017): pp. 95-126.

Abstract

This paper uses a core-periphery model for measuring two systemic risk dimensions in the Venezuelan interbank market: connectivity and funding patterns between banks. The period analyzed is particularly interesting because it includes an episode of financial adjustment induced by regulators in 2009. Results show that after this date, market connectivity dropped, leading to a smaller systemic risk. On the other hand, funding patterns changed, suggesting that banks in the core increased their liquidity needs. Those new patterns rise systemic risk. The model estimation also helps identify which banks require closer supervision by the authorities.

• Item Type: MPRA Paper
• English Title: Systemic risk in the Venezuelan interbank market: 2004-2014
• Language: Spanish
• Keywords: core-periphery model, interbank market, systemic risk
• Subjects: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D85 - Network Formation and Analysis: Theory; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; L - Industrial Organization > L1 - Market Structure, Firm Strategy, and Market Performance > L14 - Transactional Relationships ; Contracts and Reputation ; Networks

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