Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform
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comunitat-uji-handle2:10234/8643
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http://dx.doi.org/10.1007/s10614-014-9427-x |
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Title
Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading PlatformDate
2015-03Publisher
Springer USISSN
0927-7099; 1572-9974Type
info:eu-repo/semantics/articlePublisher version
http://link.springer.com/article/10.1007%2Fs10614-014-9427-xSubject
Abstract
We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of ... [+]
We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a core–periphery model. Our main findings are: (1) the identified core is quite stable over time in its size as well as in many structural properties, (2) there is also high persistence over time of banks’ identified positions as members of the core or periphery, (3) allowing for asymmetric ‘coreness’ with respect to lending and borrowing considerably improves the fit and reveals a high level of asymmetry and relatively little correlation between banks’ ‘in-coreness’ and ‘out-coreness’, and (4) we show that the identified core–periphery structure could not have been obtained spuriously from random networks. During the financial crisis of 2008, the reduction of interbank lending was mainly due to core banks reducing their numbers of active outgoing links. [-]
Is part of
Computational Economics, 2015, vol. 45, núm. 3Rights
© Springer Science+Business Media New York 2014
© Springer International Publishing AG, Part of Springer Science+Business Media
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