Network structure and fragmentation of the Argentinean interbank markets

Federico Forte, Pedro Elosegui and Gabriel Montes-Rojas

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Abstract: This paper studies the network structure and fragmentation of the Argentinean interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined, applying complex network analysis. Results indicate that, although the secured market has less participants, its nodes are more densely connected than in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two 'hidden' underlying sub-networks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller impact in the former than in the latter 'sub-market'. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (in some period pronounced) swings in the other segment of the market. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented sub-markets. This mixed structure of the REPO market entails one of the main sources of differentiation with respect to the CALL market.

Date: 2022-03
New Economics Papers: this item is included in nep-ban, nep-mon and nep-net
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Citations: View citations in EconPapers (1)

Published in Latin American Journal of Central Banking, Volume 3, Issue 3, September 2022, 100066

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Journal Article: Network structure and fragmentation of the Argentinean interbank markets (2022)
Working Paper: Network Structure and Fragmentation of the Argentinean Interbank Markets (2022)
Working Paper: Network Structure and Fragmentation of the Argentinean Interbank Markets (2021)
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