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

Author

Listed:
  • Carlos León

    (Banco de la República de Colombia and Tilburg University)

  • Jorge Cely

    (Banco de la República de Colombia)

  • Carlos Cadena

    (Banco de la República de Colombia)

Abstract
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.

Suggested Citation

  • Carlos León & Jorge Cely & Carlos Cadena, 2015. "Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data," Borradores de Economia 881, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:881
    DOI: 10.32468/be.881
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    References listed on IDEAS

    as
    1. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    2. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2016. "How to Measure the Unsecured Money Market: The Eurosystem’s Implementation and Validation Using TARGET2 Data," International Journal of Central Banking, International Journal of Central Banking, vol. 12(1), pages 247-280, March.
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    20. León, Carlos & Berndsen, Ron J., 2014. "Rethinking financial stability: Challenges arising from financial networks’ modular scale-free architecture," Journal of Financial Stability, Elsevier, vol. 15(C), pages 241-256.
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    Cited by:

    1. Carlos León & Constanza Martínez-Ventura & Freddy Cepeda-López, 2019. "Short-Term Liquidity Contagion in the Interbank Market," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(76), pages 51-80, January.
    2. Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
    3. León, Carlos & Miguélez, Javier, 2021. "Interbank relationship lending revisited: Are the funds available at a similar price?," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Carlos León & Javier Miguélez, 2020. "Interbank relationship lending in Colombia," Borradores de Economia 1118, Banco de la Republica de Colombia.
    5. Pamela A. Cardozo Ortiz & Carlos A. Huertas Campos & Julián A. Parra Polanía & Lina V. Patiño Echeverri, 2016. "The Interbank Market in Colombia and the Supply of Liquidity by the Banco de la República," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(2), pages 153-193, july-dece.

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    More about this item

    Keywords

    Furfine’s method; interbank; IBR; TIB.;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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