We introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using … network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit …

comparative analysis between different types of network structures, a core-periphery network with a deficit money center bank … shocks as its interbank network becomes more ill-matched …

comparative analysis between different types of network structures, a core-periphery network with a deficit money center bank … shocks as its interbank network becomes more ill-matched …

plays a crucial role. This paper provides a model on network formation in interbank markets. Due to bank opacity, there are … is to identify network structures that satisfy efficiency or unilateral stability. In particular, we ask under which …, a core-periphery network is not unilaterally stable. However, heterogeneity can explain core-periphery formation. A core …

of interbank networks, which in turn allows for checking the sensitivity of interbank network structures and hence their … exposures limits. The sequential network formation mechanism presented in the paper is based on a portfolio optimisation model … key parameters may affect interbank network structures and can be a valuable tool for analysing the impact of various …

We introduce a structural dynamic network model of the formation of lending relationships in the unsecured interbank …. We estimate the structural model parameters by indirect inference using network statistics of the Dutch interbank market … from 2008 to 2011. The estimated model accurately explains the high sparsity and stability of the lending network. In …

We introduce a structural dynamic network model of the formation of lending relationships in the unsecured interbank …. We estimate the structural model parameters by indirect inference using network statistics of the Dutch interbank market … from 2008 to 2011. The estimated model accurately explains the high sparsity and stability of the lending network. In …