Structural distortions in the Euro interbank market: The role of key players during the recent market turmoil

C. Liberati, Massimiliano Marzo, Paolo Zagaglia and P. Zappa

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two main issues. First, we characterize the division of roles between borrowers and lenders in long-run relations by providing evidence on network formation at a yearly frequency. Second, we identify the key players in the marketplace and study their behaviour. Key players are locally-central banks within a network that lend (or borrow) large volumes to (from) several counterparties, while borrowing (or lending) small volumes from (to) a small number of institutions. Our results are twofold. We show that the aggregate trading patterns in e-Mid are characterized by largely asymmetric relations. This implies a clear division of roles between lenders and borrowers. Second, the key players do not exploit their position of network leaders by imposing opportunistic pricing policies. We find that only a fraction of the networks composed by big players are characterized by interest rates that are statistically different from the average market rate throughout the turmoil period.

JEL-codes: D85 G01 G10 G21 (search for similar items in EconPapers)
Date: 2012-07
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://amsacta.unibo.it/4002/1/WP841.pdf (application/pdf)

Related works:
Working Paper: Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil (2012)
Working Paper: Structural distortions in the Euro interbank market: the role of 'key players' during the recent market turmoil (2012)
Working Paper: Structural Distortions in the Euro Interbank Market: The Role of 'Key Players' during the Recent Market Turmoil (2012)
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: https://EconPapers.repec.org/RePEc:bol:bodewp:wp841

Access Statistics for this paper

More papers in Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna Contact information at EDIRC.
Bibliographic data for series maintained by Dipartimento Scienze Economiche, Universita' di Bologna ().