Beyond the power law: Uncovering stylized facts in interbank networks

Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch and Koen Schoors

Physica A: Statistical Mechanics and its Applications, 2015, vol. 428, issue C, 443-457

Abstract: We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over August 1998–October 2004. Specifically, we examine the distributions of (un)directed (un)weighted degree, nodal attributes (bank assets, capital and capital-to-assets ratio) and edge weights (loan size and counterparty exposure). We search for the theoretical distribution that fits the data best and report the “best” fit parameters.

Keywords: Interbank networks; Power law; Lognormal; Stretched exponential; Distributions; Heavy tailed (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Working Paper: Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:428:y:2015:i:c:p:443-457

DOI: 10.1016/j.physa.2015.01.058

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