The multiplex structure of interbank networks
Leonardo Bargigli (),
Giovanni di Iasio (),
F. Lillo and
Quantitative Finance, 2015, vol. 15, issue 4, 673-691
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports on Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.
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Working Paper: The multiplex structure of interbank networks (2013)
Working Paper: The Multiplex Structure of Interbank Networks (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691
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