Logo
Munich Personal RePEc Archive

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.

[thumbnail of MPRA_paper_106548.pdf]
Preview
PDF
MPRA_paper_106548.pdf

Download (643kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.