Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Capera-Romero, Laura; Lemus-Esquivel, Juan Sebastián; Estrada, Dairo Ayiber

doi:10.32468/tef.77

Cited by 2 publications

(4 citation statements)

References 11 publications

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“…Our findings add to overall literature on interbank lending relationship. Also, concurrent with Capera-Romero, et al (2015) and Martínez (forthcoming), we find that stable and strong interbank lending relations exist in Colombia. Furthermore, our findings overlap with literature related to the stability of linkages in interbank networks reported in Fricke and Lux (2014), Craig and von Peter (2014), Bargigli, et al (2014), andMolina-Borboa, et al (2015).…”

Section: Final Remarkssupporting

confidence: 85%

“…In the herein case, the survival ratio is used to measure how persistent interbank lending relations are over time. Persistency in lending relations is particularly important in financial literature because repeated relations have been documented as determinant of liquidity exchanges in money markets (see Furfine, 1999, Furfine, 2001, Cocco, et al, 2009, Affinito, 2012, Afonso, et al, 2013, Capera-Romero, et al, 2015, Hüser, 2016, and -thus-a vital factor in the evolution and stability of financial markets. Onnela, et al (2003) introduce two survival ratios, namely the single-step survival ratio and the multi-step survival ratio.…”

Section: The Survival Ratiomentioning

confidence: 99%

“…The number of transactions (see Furfine, 1999, Bräuning & Fecht, 2017 or the number of days with transactions (see Furfine, 2001) between banks during a certain period are common choices. The concentration of relations between banks, in the form of lending and borrowing preference indexes is also common (see Cocco, et al, 2009, Affinito, 2012, Temizsoy, et al, 2015, Capera-Romero, et al, 2015, Bräuning & Fecht, 2017. From a network modeling perspective, a measure of significant number of interbank trades -against a null network modelhas been introduced by Kobayashi and Takaguchi (2018).…”

Section: Introductionmentioning

confidence: 99%

“…The presence and benefits of stable funding relations between banks and their customers -commonly known as relationship bankingis also well-documented (seePetersen & Rajan, 1994, Ongena & Smith, 2000). 2Capera-Romero, et al (2015) and Martínez (forthcoming) study the Colombian case. They both find evidence of interbank relationship lending.…”

mentioning

confidence: 99%

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Interbank relationship lending in Colombia

León¹,

Miguélez²

2020

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Stable and strong lending relations among financial institutions have been credited as the mainstay of interbank markets and financial stability. They are an indicator of trust among financial institutions. From a network perspective, we measure how stable relations are in the Colombian unsecured interbank lending market. We calculate the survival ratio of interbank networks, which corresponds to the fraction of linkages found in consecutive interbank lending networks. From January 2014 to September 2019, on average, about 58 per cent of linkages survive from one day to the next. About 36, 28, and 22 per cent of linkages survive during a 5-, 10-, and 20-day period, respectively. Regarding the strength of lending relations, results are robust to the exclusion of low-value linkages and non-banking institutions. A non-parametric test discards randomness as a plausible source of observed survival ratios. Preliminary examination of survival ratios during the first weeks of the financial turmoil caused by Covid-19 pandemic and falling oil prices suggests that trust in the interbank market was not seriously affected. Therefore, it is fair to conclude that stable and strong interbank lending relations exist in the Colombian market. From a financial stability perspective, the survival ratio may aid financial authorities in their quest for monitoring financial institutions' willingness to exchange funds among them.

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Section: Final Remarkssupporting

confidence: 85%

Section: The Survival Ratiomentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Interbank relationship lending in Colombia

León¹,

Miguélez²

2020

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Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks

León

Machado²,

Sarmiento

2014

SSRN Journal

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We model the allocation of central bank liquidity among the participants of the interbank market by using network analysis' metrics. Our analytical framework considers that a superspreader simultaneously excels at receiving (borrowing) and distributing (lending) central bank's liquidity for the whole network, as measured by financial institutions' hub centrality and authority centrality, respectively. Evidence suggests that the Colombian interbank funds market exhibits an inhomogeneous and hierarchical network structure, akin to a coreperiphery organization, in which a few financial institutions fulfill the role of central bank's liquidity super-spreaders. Our results concur with evidence from other interbank markets and other financial networks regarding the flaws of traditional direct financial contagion models based on homogeneous and non-hierarchical networks. Also, concurrent with literature on lending relationships in interbank markets, we confirm that the probability of being a superspreader is mainly determined by financial institutions' size. We provide additional elements for the implementation of monetary policy and for safeguarding financial stability. JEL: E5, G2, L14

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Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Cited by 2 publications

References 11 publications

Interbank relationship lending in Colombia

Interbank relationship lending in Colombia

Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks

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