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dc.creatorCastro, Carlos 
dc.creatorPreciado Pua, Sergio Andrés 
dc.creatorOrdóñez Herrera, Juan Sebastián
dc.description.abstractWe propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.
dc.format.extent22 páginas
dc.sourcereponame:Repositorio Institucional EdocUR
dc.sourceinstname:Universidad del Rosario
dc.subject.lembCrisis económica
dc.titleNetwork externalities across financial institutions
dc.publisherUniversidad del Rosario
dc.publisher.departmentFacultad de Economía
dc.subject.keywordsystemic risk
dc.subject.keywordnetwork models
dc.subject.keywordspatial econometrics
dc.type.spaDocumento de trabajo
dc.rights.accesoAbierto (Texto completo)
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dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombia
dc.relation.citationTitleSerie Documentos de trabajo. Economía

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