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Information theoretic description of the e-Mid interbank market: implications for systemic risk

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  • Hatzopoulos, V.
  • Iori, G.

Abstract

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads.

Suggested Citation

  • Hatzopoulos, V. & Iori, G., 2012. "Information theoretic description of the e-Mid interbank market: implications for systemic risk," Working Papers 12/04, Department of Economics, City University London.
    • Handle: RePEc:cty:dpaper:12/04
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    File URL: https://openaccess.city.ac.uk/id/eprint/1645/1/1204_Hatzopoulos.pdf
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    Cited by:

    1. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    2. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    3. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.
    4. Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini, 2015. "Detecting early signs of the 2007-2008 crisis in the world trade," Papers 1508.03533, arXiv.org, revised Jul 2016.

    More about this item

    Keywords

    interbank lending; market microstructure; subprime crisis; credit spreads; liquidity management;
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