Economics at your fingertips  

On the distribution of links in financial networks: structural heterogeneity and functional form

Thomas Lux ()
Additional contact information
Thomas Lux: University of Kiel

Empirical Economics, 2020, vol. 58, issue 3, No 6, 1019-1053

Abstract: Abstract We investigate the distribution of links in three large data sets: one of these covering interbank loans in the electronic trading platform e-MID, and the other two covering a large part of the loans of banks to non-financial companies in the Spanish and Japanese economies, respectively. In contrast to all the previous literature, we do not assume homogeneity of the link distribution over time and across different categories of agents (banks, firms) but apply our hypothesized distributions as regression models. As it turns out, many of the tested sources of heterogeneity turn out to be significant regressors. For instance, we find pervasive time heterogeneity of link formation in all three data sets, and also heterogeneity for different categories of banks/firms that can be identified in the data as well as some explanatory power of balance sheet statistics in the case of the Japanese data set. Across all networks, the Negative Binomial model almost always outperforms all alternative models confirming its good performance as a model of economic count data in many previous applications.

Keywords: Financial network; Interbank market; Degree distribution; Credit network (search for similar items in EconPapers)
JEL-codes: G21 G01 E42 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-018-1569-6

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2020-05-02
Handle: RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1569-6