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that can best be characterized as a shrinking of the interbank network. Such a change in the network structure is … consequential: banks with higher centrality within the network have better access to liquidity and are able to charge larger …
Persistent link: https://www.econbiz.de/10010471923
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/10010406423
The euro area overnight interbank market is best described as a network of over-the-counter lending relationships. We … study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European …
Persistent link: https://www.econbiz.de/10012972318
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
The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010249740
that can best be characterized as a shrinking of the interbank network. Such a change in the network structure is … consequential: banks with higher centrality within the network have better access to liquidity and are able to charge larger …
Persistent link: https://www.econbiz.de/10013039785
In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework … the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and …
Persistent link: https://www.econbiz.de/10012241220
theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The network, where banks are the nodes and the …This paper provides an empirical network analysis of the Argentine interbank money market, commonly known as call … random network of equal size. Both indicators show values in line with those reported for other interbank networks around the …
Persistent link: https://www.econbiz.de/10012109889
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 …
Persistent link: https://www.econbiz.de/10013440018
We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and faces idiosyncratic risks characterized...
Persistent link: https://www.econbiz.de/10012901154