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The network nature of over-the-counter interest rates

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  • Rainone, Edoardo

Abstract

Interest rates in money markets are fundamental indicators of the smooth transmission of the policy rate and of the stability of the financial system. The decentralized nature of this market can generate equilibrium interest rates that depend on the structure of the relationships among banks. I propose a structural econometric model to test it. The method is applied to a unique dataset of euro unsecured loans and characteristics of banks from 2008 to 2012. I find that the network structure played a greater role during the sovereign debt crisis, when risk preferences and bargaining powers of market participants changed dramatically.

Suggested Citation

  • Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    • Handle: RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303556
    DOI: 10.1016/j.finmar.2019.100525
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    More about this item

    Keywords

    Interbank markets; Trading networks; Financial stability; Spatial autoregressive models; Market microstructure; Monetary policy;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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