The network nature of over-the-counter interest rates
Edoardo Rainone ()
Journal of Financial Markets, 2020, vol. 47, issue C
Interest rates in money markets are fundamental indicators of the smooth transmission of the policy rate and of the stability of the financial system. The decentralized nature of this market can generate equilibrium interest rates that depend on the structure of the relationships among banks. I propose a structural econometric model to test it. The method is applied to a unique dataset of euro unsecured loans and characteristics of banks from 2008 to 2012. I find that the network structure played a greater role during the sovereign debt crisis, when risk preferences and bargaining powers of market participants changed dramatically.
Keywords: Interbank markets; Trading networks; Financial stability; Spatial autoregressive models; Market microstructure; Monetary policy (search for similar items in EconPapers)
JEL-codes: C21 D40 D85 E52 E40 G01 G21 F65 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303556
Access Statistics for this article
Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam
More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Haili He ().