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Citations for "The topology of the federal funds market"

by Bech, Morten L. & Atalay, Enghin

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  1. Kartik Anand & Ben Craig & Goetz von Peter, 2014. "Filling in the Blanks: Network Structure and Interbank Contagion," Working Papers 14-26, Bank of Canada.
  2. Carlos León & Clara Machado & Miguel Sarmiento, 2014. "Identifying central bank liquidity super-spreaders in interbank funds networks," BORRADORES DE ECONOMIA 011187, BANCO DE LA REPÚBLICA.
  3. Carlos León & Jhonatan Pérez & Luc Renneboog, 2014. "A multi-layer network of the sovereign securities market," BORRADORES DE ECONOMIA 012036, BANCO DE LA REPÚBLICA.
  4. Spiros Bougheas & Alan Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," Discussion Papers 2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  5. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, Elsevier, vol. 182(1), pages 119-134.
  6. Bräuning, Falk & Fecht, Falko, 2012. "Relationship lending in the interbank market and the price of liquidity," Discussion Papers 22/2012, Deutsche Bundesbank, Research Centre.
  7. Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz, 2014. "Mapping systemic risk: critical degree and failures distribution in financial networks," Papers 1402.4783, arXiv.org, revised Mar 2014.
  8. Ricardo Lagos & Gara Afonso, 2010. "Trade Dynamics in the Market for Federal Funds," 2010 Meeting Papers 424, Society for Economic Dynamics.
  9. Serafín Martínez-Jaramillo & Biliana Alexandrova-Kabadjova & Bernardo Bravo-Benítez & Juan Pablo Solórzano-Margain, 2012. "An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk," Working Papers 2012-07, Banco de México.
  10. Afonso, Gara M. & Lagos, Ricardo, 2014. "The over-the-counter theory of the fed funds market: a primer," Staff Reports 660, Federal Reserve Bank of New York.
  11. Gao, Bo & Ren, Ruo-en, 2013. "The topology of a causal network for the Chinese financial system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2965-2976.
  12. Craig, Ben R. & von Peter, Goetz, 2010. "Interbank tiering and money center banks," Discussion Paper Series 2: Banking and Financial Studies 2010,12, Deutsche Bundesbank, Research Centre.
  13. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2012. "Rollover risk, network structure and systemic financial crises," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(8), pages 1088-1100.
  14. Sébastien Philippe Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
  15. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2012. "Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil," Papers 1207.5269, arXiv.org.
  16. Peter Sarlin, 2014. "Macroprudential oversight, risk communication and visualization," Papers 1404.4550, arXiv.org, revised Jun 2014.
  17. Carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," BORRADORES DE ECONOMIA 011104, BANCO DE LA REPÚBLICA.
  18. Galbiati, Marco & Soramäki, Kimmo, 2012. "Clearing networks," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 609-626.
  19. 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.
  20. Mejía Cubillos, Javier, 2012. "Propuesta metodológica para el cálculo del riesgo sistémico financiero en estudios de Historia Económica: Aplicación para el caso de la banca libre en Antioquia, 1888
    [A methodology for assessing f
    ," MPRA Paper 35460, University Library of Munich, Germany.
  21. Sokolov, Andrey & Webster, Rachel & Melatos, Andrew & Kieu, Tien, 2012. "Loan and nonloan flows in the Australian interbank network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2867-2882.
  22. Leonardo Bargigli & Giovanni Di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2013. "The Multiplex Structure of Interbank Networks," Working Papers - Economics wp2013_26.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  23. Ronald Heijmans & Richard Heuver, 2011. "Is this bank ill? The diagnosis of doctor TARGET2," DNB Working Papers, Netherlands Central Bank, Research Department 316, Netherlands Central Bank, Research Department.
  24. Galbiati, Marco & Soramaki, Kimmo, 2013. "Central counterparties and the topology of clearing networks," Bank of England working papers 480, Bank of England.
  25. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 22(4), pages 586-607.
  26. Karl Finger & Thomas Lux, 2014. "Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations," Working Papers 01, Chair of Monetary Economics and International Finance, Department of Economics, Kiel University.
  27. Carlos León & Jhonatan Pérez & Luc Renneboog, 2014. "A multi-layer network of the sovereign securities market," Borradores de Economia 840, Banco de la Republica de Colombia.
  28. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 22(1), pages 85-105.
  29. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  30. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," BORRADORES DE ECONOMIA 007669, BANCO DE LA REPÚBLICA.
  31. Karl Finger & Daniel Fricke & Thomas Lux, 2013. "Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes," Computational Management Science, Springer, vol. 10(2), pages 187-211, June.
  32. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
  33. Marzena Rostek & Ji Hee Yoon, 2013. "Private Information in Markets: A Market Design Perspective," Working Papers 13-21, NET Institute.
  34. Afonso, Gara M. & Lagos, Ricardo, 2014. "An Empirical Study of Trade Dynamics in the Fed Funds Market," Working Papers 708, Federal Reserve Bank of Minneapolis.
  35. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.
  36. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
  37. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  38. Sheri M. Markose, 2012. "Systemic Risk from Global Financial Derivatives," IMF Working Papers 12/282, International Monetary Fund.
  39. Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello, 2014. "Networked relationships in the e-MID Interbank market: A trading model with memory," Papers 1403.3638, arXiv.org.
  40. Anthonisen, Niels, 2013. "On the long-run relationship between inflation and output in a spatial overlapping generations model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(12), pages 2500-2524.
  41. Fuad Aleskerov & Irina Andrievskaya & Elena Permjakova, 2014. "Key Borrowers Detected By The Intensities Of Their Short-range Interactions," HSE Working papers WP BRP 33/FE/2014, National Research University Higher School of Economics.
  42. Q. Akram & Casper Christophersen, 2013. "Norwegian Overnight Interbank Interest Rates," Computational Economics, Society for Computational Economics, vol. 41(1), pages 11-29, January.
  43. Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012. "Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 184-217, April.
  44. Berlinger, Edina & Szenes, Márk & Michaletzky, Márton, 2011. "A fedezetlen bankközi forintpiac hálózati dinamikájának vizsgálata a likviditási válság előtt és után
    [Examination of the network dynamics of the uncovered interbank forint market befor
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-252.
  45. Thomas R. Hurd & Davide Cellai & Huibin Cheng & Sergey Melnik & Quentin Shao, 2013. "Illiquidity and Insolvency: a Double Cascade Model of Financial Crises," Papers 1310.6873, arXiv.org, revised Apr 2014.
  46. Barry Eichengreen & Arnaud J. Mehl & Livia Chițu & Gary Richardson, 2014. "Mutual Assistance between Federal Reserve Banks, 1913-1960 as Prolegomena to the TARGET2 Debate," NBER Working Papers 20267, National Bureau of Economic Research, Inc.
  47. Craig, Ben R. & Fecht, Falko & Tümer-Alkan, Günseli, 2013. "The role of interbank relationships and liquidity needs," Discussion Papers 54/2013, Deutsche Bundesbank, Research Centre.
  48. Martinez-Jaramillo, Serafin & Alexandrova-Kabadjova, Biliana & Bravo-Benitez, Bernardo & Solórzano-Margain, Juan Pablo, 2014. "An empirical study of the Mexican banking system’s network and its implications for systemic risk," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 40(C), pages 242-265.
  49. 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.
  50. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2013. "The network structure of the CDS market and its determinants," Working Paper Series 1583, European Central Bank.