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Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes

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  • Karl Finger
  • Daniel Fricke
  • Thomas Lux

    ()

Abstract

In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999–2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying ‘latent’ network. Rather, the development of various network statistics under time aggregation points toward strong non-random determinants of link formation. We also identify the global financial crisis as a significant structural break for many network measures. Copyright Springer-Verlag Berlin Heidelberg 2013

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Bibliographic Info

Article provided by Springer in its journal Computational Management Science.

Volume (Year): 10 (2013)
Issue (Month): 2 (June)
Pages: 187-211

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Handle: RePEc:spr:comgts:v:10:y:2013:i:2:p:187-211

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Related research

Keywords: Interbank market; Network models; Financial crisis;

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References

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  1. Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
  2. de Masi, G. & Iori, G. & Caldarelli, G., 2006. "A fitness model for the Italian interbank money market," Working Papers 06/08, Department of Economics, City University London.
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  7. Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "Network topology of the interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 677-684.
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  11. Thomas Lux, Daniel Fricke, 2012. "Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform," Kiel Working Papers 1759, Kiel Institute for the World Economy.
  12. Daniel Fricke, 2012. "Trading Strategies in the Overnight Money Market: Correlations and Clustering on the e-MID Trading Platform," Kiel Working Papers 1766, Kiel Institute for the World Economy.
  13. Daniel Fricke & Thomas Lux, 2013. "On the Distribution of Links in the Interbank Network: Evidence from the e-Mid Overnight Money Market," Kiel Working Papers 1819, Kiel Institute for the World Economy.
  14. Brodt, Abraham I., 1978. "A dynamic balance sheet management model for a Canadian chartered bank," Journal of Banking & Finance, Elsevier, vol. 2(3), pages 221-241, October.
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  17. Beaupain, Renaud & Durré, Alain, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series 1500, European Central Bank.
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Cited by:
  1. Vinko Zlati\'c & Giampaolo Gabbi & Hrvoje Abraham, 2014. "Reduction of systemic risk by means of Pigouvian taxation," Papers 1406.5817, arXiv.org.
  2. Mattia Montagna & Thomas Lux, 2013. "Hubs and resilience: towards more realistic models of the interbank markets," Kiel Working Papers 1826, Kiel Institute for the World Economy.
  3. Daniel Fricke & Karl Finger & Thomas Lux, 2013. "On Assortative and Disassortative Mixing Scale-Free Networks: The Case of Interbank Credit Networks," Kiel Working Papers 1830, Kiel Institute for the World Economy.
  4. Daniel Fricke & Thomas Lux, 2013. "On the Distribution of Links in the Interbank Network: Evidence from the e-Mid Overnight Money Market," Kiel Working Papers 1819, Kiel Institute for the World Economy.

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