Finding the core: Network structure in interbank markets
AbstractThis paper investigates the network structure of interbank markets, which has proved to be important for financial stability during the crisis. First, we describe and map the interbank network in the Netherlands, an exception in the literature because of its small and open banking environment. Secondly, we follow recent analyses of interbank markets of Germany and Italy in estimating the Core Periphery model, using data for the Netherlands instead. We find a significant Core Periphery structure and discuss model selection. The overall analysis opens up new opportunities for systemic risk assessments of the interbank market, especially as more granular data is becoming available for the eurozone.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 348.
Date of creation: Jul 2012
Date of revision:
Interbank networks; Core-periphery; loan intermediation;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-BAN-2012-08-23 (Banking)
- NEP-CBA-2012-08-23 (Central Banking)
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