Stylized facts in money markets: an empirical analysis of the eurozone data

Victor Le Coz, Nolwenn Allaire, Michael Benzaquen () and Damien Challet ()
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Victor Le Coz: LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Nolwenn Allaire: European Central Bank - European Central Bank
Michael Benzaquen: LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Damien Challet: MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay

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Abstract: Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47-largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in-and out-degree symmetry than what is reported for unsecured markets.

Date: 2025
New Economics Papers: this item is included in nep-eec and nep-mon
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Published in European Central Bank Working Papers, 2025, 3113 (ISBN 978-92-899-7431-8)

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05273325

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