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Finding the core: Network structure in interbank markets

in ’t Veld, Daan and Iman Lelyveld

Journal of Banking & Finance, 2014, vol. 49, issue C, 27-40

Abstract: This paper investigates the network structure of interbank markets. Using a dataset of interbank exposures in the Netherlands, we corroborate the recent hypothesis that the core periphery model is a ‘stylised fact’ of interbank markets. We find a core of highly connected banks intermediating between periphery banks and pay particular attention to model selection. Our analysis can help improve systemic risk assessments, especially as more granular data is becoming available.

Keywords: Interbank networks; Core periphery; Loan intermediation (search for similar items in EconPapers)
JEL-codes: G10 G21 L14 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Finding the core: Network structure in interbank markets (2012) Downloads
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DOI: 10.1016/j.jbankfin.2014.08.006

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