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A dynamic network model of the unsecured interbank lending market

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Cited by:

  1. Accominotti, Olivier & Lucena-Piquero, Delio & Ugolini, Stefano, 2023. "Intermediaries’ substitutability and financial network resilience: A hyperstructure approach," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
  2. Puriya Abbassi & Falk Bräuning & Niels Schulze, 2021. "Bargaining power and outside options in the interbank lending market," Financial Management, Financial Management Association International, vol. 50(2), pages 553-586, June.
  3. S. Gabrieli & C.-P. Georg, 2014. "A network view on interbank market freezes," Working papers 531, Banque de France.
  4. Simpson Zhang & Mihaela van der Schaar, 2018. "Reputational Dynamics in Financial Networks During a Crisis," Working Papers 18-03, Office of Financial Research, US Department of the Treasury.
  5. Margaretic, Paula & Cifuentes, Rodrigo & Carreño, José Gabriel, 2021. "Banks’ interconnections and peer effects: Evidence from Chile," Research in International Business and Finance, Elsevier, vol. 58(C).
  6. Craig, Ben & Ma, Yiming, 2022. "Intermediation in the interbank lending market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 179-207.
  7. Jonathan Chiu & Jens Eisenschmidt & Cyril Monnet, 2020. "Relationships in the Interbank Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 170-191, January.
  8. Gofman, Michael, 2017. "Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions," Journal of Financial Economics, Elsevier, vol. 124(1), pages 113-146.
  9. Zhang, Minghui & He, Jianmin & Li, Shouwei, 2018. "Interbank lending, network structure and default risk contagion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 203-209.
  10. Bluhm, Marcel, 2018. "Persistent liquidity shocks and interbank funding," Journal of Financial Stability, Elsevier, vol. 36(C), pages 246-262.
  11. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
  12. Falk Bräuning & Falko Fecht, 2017. "Relationship Lending in the Interbank Market and the Price of Liquidity," Review of Finance, European Finance Association, vol. 21(1), pages 33-75.
  13. Q. Farooq Akram & Casper Christophersen, 2017. "Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(2), pages 165-204, April.
  14. Gaïffas, Stéphane & Matulewicz, Gustaw, 2019. "Sparse inference of the drift of a high-dimensional Ornstein–Uhlenbeck process," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 1-20.
  15. Zhang, Simpson & van der Schaar, Mihaela, 2020. "Reputational dynamics in financial networks during a crisis," Journal of Financial Stability, Elsevier, vol. 49(C).
  16. Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
  17. Marnix Van Soom & Milan Van Den Heuvel & Jan Ryckebusch & Koen Schoors, 2019. "Loan Maturity Aggregation In Interbank Lending Networks Obscures Mesoscale Structure And Economic Functions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/952, Ghent University, Faculty of Economics and Business Administration.
  18. Edoardo Rainone, 2017. "Pairwise trading in the money market during the European sovereign debt crisis," Temi di discussione (Economic working papers) 1160, Bank of Italy, Economic Research and International Relations Area.
  19. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
  20. Francesco Palazzo, 2016. "Peer monitoring via loss mutualization," Temi di discussione (Economic working papers) 1088, Bank of Italy, Economic Research and International Relations Area.
  21. Aldasoro, Iñaki & Faia, Ester, 2016. "Systemic loops and liquidity regulation," Journal of Financial Stability, Elsevier, vol. 27(C), pages 1-16.
  22. Miyakoshi, Tatsuyoshi & Shimada, Junji, 2022. "Network analysis of local currency Asian government bond markets: Assessments of the ABFI and the ABMI," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  23. Rünstler, Gerhard, 2016. "Network Dependence in the Euro Area Money Market," Working Paper Series 1887, European Central Bank.
  24. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
  25. Jonathan Chiu & Jens Eisenschmidt & Cyril Monnet, 2020. "Relationships in the Interbank Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 170-191, January.
  26. Lux, Thomas, 2015. "Emergence of a core-periphery structure in a simple dynamic model of the interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 11-23.
  27. Peter Grundke, 2019. "Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 953-990, May.
  28. Dietmar Maringer & Ben Craig & Sandra Paterlini, 2022. "Constructing banking networks under decreasing costs of link formation," Computational Management Science, Springer, vol. 19(1), pages 41-64, January.
  29. Linardi, Fernando & Diks, Cees & van der Leij, Marco & Lazier, Iuri, 2020. "Dynamic interbank network analysis using latent space models," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  30. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
  31. Peter Dietsch, 2021. "Money creation, debt, and justice," Politics, Philosophy & Economics, , vol. 20(2), pages 151-179, May.
  32. Müller, Alexander & Paulick, Jan, 2020. ""The devil is in the details, but so is salvation": Different approachesin money market measurement," Discussion Papers 66/2020, Deutsche Bundesbank.
  33. Coen, Patrick & Coen, Jamie, 2019. "A structural model of interbank network formation and contagion," Bank of England working papers 833, Bank of England.
  34. Chiu, Jonathan & Monnet, Cyril, 2016. "Relationships in the interbank market," Working Paper Series 19479, Victoria University of Wellington, School of Economics and Finance.
  35. Xu, Ying & Corbett, Jenny, 2020. "What a network measure can tell us about financial interconnectedness and output volatility," Journal of the Japanese and International Economies, Elsevier, vol. 58(C).
  36. Anand, Kartik & van Lelyveld, Iman & Banai, Ádám & Friedrich, Soeren & Garratt, Rodney & Hałaj, Grzegorz & Fique, Jose & Hansen, Ib & Jaramillo, Serafín Martínez & Lee, Hwayun & Molina-Borboa, José Lu, 2018. "The missing links: A global study on uncovering financial network structures from partial data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 107-119.
  37. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
  38. Ben R. Craig & Dietmar Maringer & Sandra Paterlini, 2019. "Recreating Banking Networks under Decreasing Fixed Costs," Working Papers 19-21, Federal Reserve Bank of Cleveland.
  39. Jonathan Chiu & Jens Eisenschmidt & Cyril Monnet, 2020. "Relationships in the Interbank Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 170-191, January.
  40. Bräuning, Falk & Koopman, Siem Jan, 2020. "The dynamic factor network model with an application to international trade," Journal of Econometrics, Elsevier, vol. 216(2), pages 494-515.
  41. Glasserman, Paul & Young, H. Peyton, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
  42. Matteo Chinazzi & Stefano Pegoraro & Giorgio Fagiolo, 2015. "Defuse the Bomb: Rewiring Interbank Networks," LEM Papers Series 2015/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  43. Tabak, Benjamin Miranda & Silva, Thiago Christiano & Fiche, Marcelo Estrela & Braz, Tércio, 2021. "Citation likelihood analysis of the interbank financial networks literature: A machine learning and bibliometric approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
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