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Dynamic visualization of large transaction networks: the daily Dutch overnight money market

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Author Info

  • Ronald Heijmans
  • Richard Heuver
  • Clement Levallois
  • Iman van Lelyveld

Abstract

This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the Dutch part of the Eurosystem's large value payment system, TARGET2. We show how animation facilitates analysis at three different levels. First, animation shows how the market macrostructure develops. Second, it enables individual banks that are of interest to be followed. Finally, it facilitates a comparison of the same market at different moments in time and of different markets (such as countries) at the same moment in time.

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File URL: http://www.dnb.nl/en/binaries/Working%20Paper%20418_tcm47-305800.pdf
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Bibliographic Info

Paper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 418.

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Date of creation: Mar 2014
Date of revision:
Handle: RePEc:dnb:dnbwpp:418

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Related research

Keywords: interbank network; visualization;

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References

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  1. Cocco, João F. & Gomes, Francisco J. & Martins, Nuno C., 2009. "Lending relationships in the interbank market," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 24-48, January.
  2. Klaus Abbink & Ronald Bosman & Ronald Heijmans & Frans van Winden, 2010. "Disruptions in large value payment systems: An experimental approach," Working Paper series, University of East Anglia, Centre for Behavioural and Experimental Social Science (CBESS) 10-11, School of Economics, University of East Anglia, Norwich, UK..
  3. Ronald Heijmans & Richard Heuver, 2011. "Is this bank ill? The diagnosis of doctor TARGET2," DNB Working Papers 316, Netherlands Central Bank, Research Department.
  4. Morten L. Bech & Rodney J. Garratt, 2012. "Illiquidity in the Interbank Payment System Following Wide‐Scale Disruptions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 903-929, 08.
  5. Acharya, Viral V & Merrouche, Ouarda, 2012. "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers 8859, C.E.P.R. Discussion Papers.
  6. Morten L. Bech & Carl T. Bergstrom & Rodney J. Garratt & Martin Rosvall, 2011. "Mapping change in the federal funds market," Staff Reports 507, Federal Reserve Bank of New York.
  7. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2014. "How to measure the unsecured money market? The Eurosystem’s implementation and validation using TARGET2 data," Questioni di Economia e Finanza (Occasional Papers) 215, Bank of Italy, Economic Research and International Relations Area.
  8. Jonathan A. Schwabish, 2014. "An Economist's Guide to Visualizing Data," Journal of Economic Perspectives, American Economic Association, vol. 28(1), pages 209-34, Winter.
  9. Q. Farooq Akram & Casper Christophersen, 2010. "Interbank overnight interest rates - gains from systemic importance," Working Paper 2010/11, Norges Bank.
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