We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across … curve. We find that the network of interest rate surprises is indeed asymmetric, and defined by spillovers between adjacent …

network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … lines. Then, we endogenize the network and show that every equilibrium network is a complete coreperiphery graph. Central … accounting for banks' endogenous linking decisions, a narrower corridor may lead to a sparser interbank network with higher …

This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL …) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured …

computationally efficient filtering algorithm to estimate the non-linear model. Calculations are greatly simplified by appropriate … augmentation of the transition equation and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to …