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Network structure and fragmentation of the Argentinean interbank markets

Author

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  • Elosegui, Pedro
  • Forte, Federico D.
  • Montes-Rojas, Gabriel

Abstract

This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market's mixed structure entails one of the main sources of differentiation with respect to the CALL market.

Suggested Citation

  • Elosegui, Pedro & Forte, Federico D. & Montes-Rojas, Gabriel, 2022. "Network structure and fragmentation of the Argentinean interbank markets," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
    • Handle: RePEc:eee:lajcba:v:3:y:2022:i:3:s2666143822000205
    DOI: 10.1016/j.latcb.2022.100066
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    More about this item

    Keywords

    Network analysis; Interbank market; Fragmentation; Central bank; Monetary policy; Argentina;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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