Identificando préstamos interbancarios, tasas y redes de acreencias a partir de datos transaccionales

Carlos León, Jorge Cely, Carlos Cadena

Resumen


Buscamos identificar los préstamos de fondos interbancarios (i.e., no colateralizados) a partir de información transaccional del sistema de pagos de alto valor por medio del método de Furfine. Con base en dichos préstamos, y sin recurrir a información reportada por las instituciones financieras, calculamos las tasas y los saldos interbancarios. El resultado del contraste de los préstamos identificados con aquellos reportados sugiere que el algoritmo se ajusta adecuadamente y que es robusto a cambios en su configuración. La tasa promedio ponderada implícita en la información transaccional concuerda con las tasas interbancarias de referencia del mercado local. Con los préstamos identificados también construimos la red de acreencias interbancarias. Los tres principales productos (i.e., los préstamos interbancarios, las tasas y la red de acreencias) son valiosos para examinar y monitorear el mercado monetario, para contrastar la información reportada por las instituciones financieras y como insumos en modelos de contagio financiero y riesgo sistémico.


Palabras clave


método de Furfine; tasa interbancaria; índice bancario de referencia

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Referencias


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DOI: https://doi.org/10.17533/udea.le.n85a03 Resumen : 1405 PDF (English) : 744 HTML (English) : 781

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