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Core-Periphery Formation in Interbank Markets

Näther, Maria - 2018

Interbank markets are fundamentally important for banks' liquidity management, for the transmission of monetary policy …

Persistent link: https://www.econbiz.de/10012930176

Interbank network as a channel of credit contagion in banks : is moral hazard transferable?

Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through...

Persistent link: https://www.econbiz.de/10013407507

Multi-layered interbank model for assessing systemic risk

Montagna, Mattia; Kok Sørensen, Christoffer - 2013

In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are non-negligible...

Persistent link: https://www.econbiz.de/10010128807

Network topology of the Argentine interbank money market

Forte, Federico - 2019 - This version: October 2019

theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The network, where banks are the nodes and the …

Persistent link: https://www.econbiz.de/10012109889

A network view on interbank market freezes

Gabrieli, Silvia; Georg, Co-Pierre - 2014 - This version: December 2014

We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all … segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of … their interbank lending. This aggregate change in liquidity reallocation is accompanied by a substantial structural change …

Persistent link: https://www.econbiz.de/10010471923

Too interconnected to fail : a survey of the interbank networks literature

Hüser, Anne-Caroline - 2015 - First version: December 2014, This version: March 2015

The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks. We assess our current understanding of the structure...

Persistent link: https://www.econbiz.de/10010491738

Macroprudential Consolidation Policy in Interbank Networks

Gaffeo, Edoardo - 2014

Can consolidation policy be made consistent with macro-prudential supervision? In this study, we seek to provide new insights on this key-question using a network approach. We study how the resilience of a banking network evolves as we shock an initially homogenous competitive market with a...

Persistent link: https://www.econbiz.de/10013057924

Insights in European Interbank Network Contagion

Philippas, Dionisis - 2015

Purpose – We analyse the importance of regulatory requirements and interbank connections to financial stability by looking at a large number of European and UK banks.Design/Methodology – We model interbank contagion using insights from the Susceptible Infected Recovered model. We construct...

Persistent link: https://www.econbiz.de/10013032806

Too interconnected to fail : a survey of the Interbank Networks literature

Hüser, Anne-Caroline - 2016

The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks and assesses our current understanding of the structure...

Persistent link: https://www.econbiz.de/10012061680

Friendship between banks : an application of an actor-oriented model of network formation on interbank credit relations

Finger, Karl; Lux, Thomas - 2014

This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...

Persistent link: https://www.econbiz.de/10010348301