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

Systemic risk in the Venezuelan interbank market: 2004-2014

Carolina Pagliacci and Jennifer Peña

MPRA Paper from University Library of Munich, Germany

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.

Keywords: core-periphery model; interbank market; systemic risk (search for similar items in EconPapers)
JEL-codes: D85 G21 L14 (search for similar items in EconPapers)
Date: 2016-06
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Published in Semestre Económico 42.20(2017): pp. 95-126

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:106548

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