On the distribution of links in the interbank network: evidence from the e-MID overnight money market

Daniel Fricke () and Thomas Lux ()

Empirical Economics, 2015, vol. 49, issue 4, 1463-1495

Abstract: Previous literature on statistical properties of interbank networks has reported various power-laws, particularly for the degree distribution (i.e., the distribution of credit links between institutions). In this paper, we revisit data for the Italian interbank network based on overnight loans recorded on the e-MID trading platform during the period 1999–2010 using both daily and quarterly aggregates. In contrast to previous reports, we find no evidence in favor of a power-law characterizing the degree distribution. Rather, the data are best described by negative Binomial distributions. For quarterly data, Weibull, Gamma, and Exponential distributions tend to provide comparable fits. We find similar results when investigating the distribution of the number of transactions, even though in this case, the tails of the quarterly variables are much fatter. The absence of power-law behavior casts doubts on previous claims that these interbank data fall into the category of scale-free networks. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Interbank market; Network models; Financial network; Systemic risk; Power-law; G21; G01; E42 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (22)

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Working Paper: On the distribution of links in the interbank network: Evidence from the e-mid overnight money market (2013)
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DOI: 10.1007/s00181-015-0919-x

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