Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes

Karl Finger, Daniel Fricke (d.fricke@ucl.ac.uk) and Thomas Lux

No 1782, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying `latent' network. Rather, the development of various network statistics under time aggregation points toward strong non-random determinants of link formation. We also identify the global financial crisis as a significant structural break for many network measures.

Keywords: interbank market; network models; financial crisis (search for similar items in EconPapers)
JEL-codes: E42 G01 G21 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1782

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