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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

Suggested Citation

  • 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.
  • Handle: RePEc:spr:comgts:v:10:y:2013:i:2:p:187-211
    DOI: 10.1007/s10287-013-0171-9
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    More about this item

    Keywords

    Interbank market; Network models; Financial crisis;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G01 - Financial Economics - - General - - - Financial Crises
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System

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