A Density-Based estimator of core/periphery network structures

Anthony Brassil and Gabriela Nodari

Journal of Banking & Finance, 2021, vol. 125, issue C

Abstract: The core/periphery model is increasingly being used to analyze interbank networks, as it is consistent with theoretical models of interbank market structures. We show that existing core/periphery estimators are inaccurate when the network is either highly connected relative to the true proportion of banks in the core, or relatively sparsely connected. We derive a ‘density‑based’ estimator that is designed to overcome these inaccuracies, and show that our estimator outperforms the commonly used estimators in simulations. These results have broad applicability to the network analysis literature. We then use our density‑based estimator to analyze the Australian overnight interbank market, focusing on changes that occurred during the 2007–08 financial crisis.

Keywords: Network; Core/periphery; Interbank (search for similar items in EconPapers)
JEL-codes: C13 D85 G01 G10 G21 L14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426621000303
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000303

DOI: 10.1016/j.jbankfin.2021.106072

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().