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 …