Resumo

PAGLIACCI, Carolina  e  PENA, Jennifer. SYSTEMIC RISK IN THE VENEZUELAN INTERBANK MARKET, 2004-2014. Semest. Econ. [online]. 2017, vol.20, n.42, pp.95-126. ISSN 0120-6346.  https://doi.org/10.22395/seec.v20n42a4.

This paper presents a core-periphery model application for measuring two systemic risk dimensions in the Venezuelan inter-bank market: connectivity and funding patterns between banks. The period of study is of special interest given that it includes a financial adjustment during 2009. Results evidence that after this date, market connectivity seems to have dropped, which could lead to a smaller systemic risk spread. In the other hand, funding patterns seem to have been modified and suggest that banks, which belong to the core, tend to present increasing liquidity needs, which increases the liquidity risks of this banks. Likewise, the model application helps to identify which banks should be more closely supervised.

Palavras-chave : Financialsystems; core-peripherymodel; interbankmarket; systemicrisk; Venezuela.

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