TY - JOUR
T1 - Identifying interbank loans, rates, and claims networks from transactional data
AU - León, Carlos
AU - Cely, Jorge
AU - Cadena, Carlos
PY - 2016
Y1 - 2016
N2 - Our objective is to identify interbank (i.e., non-collateralized) loans between financial institutions from Colombian large-value payment system data by implementing Furfine's method. After identifying interbank loans from transactional data, we obtain the interbank rates and claims without relying on financial institutions' reported data. Contrasting identified loans with those consolidated from financial institutions' reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans, we also build the interbank claims network. The three main outputs (i.e., the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.
AB - Our objective is to identify interbank (i.e., non-collateralized) loans between financial institutions from Colombian large-value payment system data by implementing Furfine's method. After identifying interbank loans from transactional data, we obtain the interbank rates and claims without relying on financial institutions' reported data. Contrasting identified loans with those consolidated from financial institutions' reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans, we also build the interbank claims network. The three main outputs (i.e., the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.
KW - Furfine's method
KW - IBR
KW - Interbank rate
UR - http://www.scopus.com/inward/record.url?scp=85063025756&partnerID=8YFLogxK
U2 - 10.17533/udea.le.n85a03
DO - 10.17533/udea.le.n85a03
M3 - Article
AN - SCOPUS:85063025756
SN - 0120-2596
SP - 91
EP - 125
JO - Lecturas de Economia
JF - Lecturas de Economia
IS - 85
ER -