Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data


Portada Borradores de Economía de 2015
Series: 
Working Papers
Number: 
881
17
April
2015
Author(s) / Editor(s): 
Carlos León
Jorge Cely
Carlos Cadena
Publishing House: 
Banco de la República
JEL Classification: 

We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system 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.

 

The opinions expressed here do not necessarily correspond neither to the Banco de la República nor its Board of Directors.

Category / Classification: 
Documentos en elaboración

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