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Network externalities across financial institutions

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dc.creatorCastro, Carlos
dc.creatorPreciado Pua, Sergio Andrés
dc.creatorOrdóñez Herrera, Juan Sebastián
dc.date.accessioned2016-02-29T16:34:41Z
dc.date.available2016-02-29T16:34:41Z
dc.date.created2016-02-28
dc.date.issued2016
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.eng
dc.format.extent22 páginasspa
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dc.format.tipoDocumentospa
dc.identifier.doihttps://doi.org/10.48713/10336_11752
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/11752
dc.language.isospa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.relation.citationTitleSerie Documentos de trabajo. Economía
dc.relation.urihttps://ideas.repec.org/p/col/000092/014287.html
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto completo)spa
dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombiaspa
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/co/
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.ddcEconomía
dc.subject.jelC21
dc.subject.jelC58
dc.subject.jelG32
dc.subject.keywordsystemic riskeng
dc.subject.keywordnetwork modelseng
dc.subject.keywordspatial econometricseng
dc.subject.lembEconomíaspa
dc.subject.lembCrisis económicaspa
dc.subject.lembEconometríaspa
dc.titleNetwork externalities across financial institutionsspa
dc.typeworkingPapereng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaDocumento de trabajospa
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