We examine the role of imposing tighter limits on interbank exposures in reducing contagion and aggregate losses. In our model contagion risk arises as a result of the individual idiosyncratic failure of each bank in the banking system. Following Guerrero-Gomez and Lopez-Gallo (2004), we use a...

This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010...

This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010...

Direct contagion has been widely studied in recent years and little evidence has been found to be relevant to the study of systemic risk. However, we argue that this limited contagion effect might be associated with a lack of relevant data. A common assumption for the estimation of the matrices...

The goal of this paper is to explore the benefits of having a private liquidity provider and the conditions under which this lender provides liquidity, when a public liquidity provider is also present. The model proposed incorporates an endogenous interbank lending market so that the decision of...

In this paper we propose a mechanism to measure the impact of changes in Interchange Fees (IF), both on the prices paid by merchants (called merchant service fee -MSF) and on the benefits received by payment card users. In our approach IFs are exogenous both to card issuing and acquiring banks....

We use loan-level data from the Mexican credit registry to study how bank-specific characteristics in influence credit supply. We explore how these characteristics affect the transmission of monetary policy and their role in building banks' resilience to external shocks. Then, we compare the...

The goal of this paper is to explore the benefits of having a private liquidity provider and the conditions under which this lender provides liquidity, when a public liquidity provider is also present. The model proposed incorporates an endogenous interbank lending market so that the decision of...

This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010...

This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1-2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this...