Network structure and fragmentation of the Argentinean interbank markets

Pedro Elosegui, Federico Forte and Gabriel Montes-Rojas ()

Latin American Journal of Central Banking (previously Monetaria), 2022, vol. 3, issue 3

Abstract: This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market's mixed structure entails one of the main sources of differentiation with respect to the CALL market.

Keywords: Network analysis; Interbank market; Fragmentation; Central bank; Monetary policy; Argentina (search for similar items in EconPapers)
JEL-codes: C12 C2 G21 G28 (search for similar items in EconPapers)
Date: 2022
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Related works:
Working Paper: Network Structure and Fragmentation of the Argentinean Interbank Markets (2022)
Working Paper: Network structure and fragmentation of the Argentinean interbank markets (2022)
Working Paper: Network Structure and Fragmentation of the Argentinean Interbank Markets (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:lajcba:v:3:y:2022:i:3:s2666143822000205

DOI: 10.1016/j.latcb.2022.100066

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