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

Author

Listed:
  • 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.

Suggested Citation

  • Ronald Heijmans & Richard Heuver & Clement Levallois & Iman van Lelyveld, 2014. "Dynamic visualization of large transaction networks: the daily Dutch overnight money market," DNB Working Papers 418, Netherlands Central Bank, Research Department.
  • Handle: RePEc:dnb:dnbwpp:418
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    File URL: https://www.dnb.nl/en/binaries/Working%20Paper%20418_tcm47-305800.pdf
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    References listed on IDEAS

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    1. repec:ijc:ijcjou:y:2017:q:4:a:3 is not listed on IDEAS
    2. Morten L. Bech & Carl T. Bergstrom & Rod Garratt & Martin Rosvall, 2011. "Mapping change in the federal funds market," Staff Reports 507, Federal Reserve Bank of New York.
    3. Luca Arciero & Ronald Heijmans & Richard Heuver & Marco Massarenti & Cristina Picillo & Francesco Vacirca, 2016. "How to Measure the Unsecured Money Market: The Eurosystem’s Implementation and Validation Using TARGET2 Data," International Journal of Central Banking, International Journal of Central Banking, vol. 12(1), pages 247-280, March.
    4. Q. Farooq Akram & Casper Christophersen, 2010. "Interbank overnight interest rates - gains from systemic importance," Working Paper 2010/11, Norges Bank.
    5. Ronald Heijmans & Richard Heuver, 2011. "Is this bank ill? The diagnosis of doctor TARGET2," DNB Working Papers 316, Netherlands Central Bank, Research Department.
    6. Moody, James & Mucha, Peter J., 2013. "Portrait of Political Party Polarization," Network Science, Cambridge University Press, vol. 1(01), pages 119-121, April.
    7. 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, August.
    8. Klaus Abbink & Ronald Bosman & Ronald Heijmans & Frans van Winden, 2017. "Disruptions in Large-Value Payment Systems: An Experimental Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 63-95, December.
    9. Ronald Heijmans & Richard Heuver & Daniëlle Walraven, 2011. "Monitoring the unsecured interbank money market using TARGET2 data," DNB Working Papers 276, Netherlands Central Bank, Research Department.
    10. Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
    11. 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.
    12. Gabrieli, Silvia & Georg, Co-Pierre, 2014. "A network view on interbank market freezes," Discussion Papers 44/2014, Deutsche Bundesbank.
    13. Jonathan A. Schwabish, 2014. "An Economist's Guide to Visualizing Data," Journal of Economic Perspectives, American Economic Association, vol. 28(1), pages 209-234, Winter.
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    Citations

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    Cited by:

    1. Francisco Blasques & Falk Bräuning & Iman van Lelyveld, 2015. "A dynamic network model of the unsecured interbank lending market," BIS Working Papers 491, Bank for International Settlements.
    2. Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
    3. Hubert Buch-Hansen & Clement Levallois, 2015. "The Scale and Geography of Collusion in the European Market: A Longitudinal View," Journal of Common Market Studies, Wiley Blackwell, vol. 53(4), pages 737-752, July.

    More about this item

    Keywords

    interbank network; visualization;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G2 - Financial Economics - - Financial Institutions and Services
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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