A network analysis of the evolution of the German interbank market

Tarik Roukny, Co-Pierre Georg () and Stefano Battiston

No 22/2014, Discussion Papers from Deutsche Bundesbank

Abstract: In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and 2012 and characterize the underlying networks. Surprisingly, the data show little or no impact of the 2008 crisis on the structure of credit market. The derivative market however exhibits a peak of concentration in the run up to the crisis. Globally, both markets exhibit high stability for most of the networks metrics and high correlation amongst them.

Keywords: financial networks; interbank market; credit default swaps; liquidity (search for similar items in EconPapers)
JEL-codes: D85 G2 G21 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ban, nep-net and nep-ore
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:222014

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