Arbeitspapier
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form preferential relationships via an elementary reinforcement learning algorithm. As it turns out, the dynamic evolution of this system displays a formation of a core-periphery structure with mainly the largest banks assuming the roles of money center banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank market shares virtually all of the salient characteristics of interbank credit relationship that have been put forth in recent literature. Preferential interest rates for borrowers with strong attachment to a lender may prevent the system from becoming extortionary and guarantee the survival of the small peripherical banks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1917
- Klassifikation
-
Wirtschaft
Network Formation and Analysis: Theory
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Thema
-
liquidity
interbank market
network formation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lux, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2014
Ähnliche Objekte (12)
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Hubs and resilience: Towards more realistic models of the interbank markets
Identification of a core-periphery structure among participants of a business climate survey
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform
Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
On the distribution of links in the interbank network: Evidence from the e-mid overnight money market
Friendship between banks: An application of an actor-oriented model of network formation on interbank credit relations
Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Hubs and resilience: Towards more realistic models of the interbank markets
Identification of a core-periphery structure among participants of a business climate survey
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform
Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
On the distribution of links in the interbank network: Evidence from the e-mid overnight money market
Friendship between banks: An application of an actor-oriented model of network formation on interbank credit relations
Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Hubs and resilience: Towards more realistic models of the interbank markets
Identification of a core-periphery structure among participants of a business climate survey
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform
Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
On the distribution of links in the interbank network: Evidence from the e-mid overnight money market
Friendship between banks: An application of an actor-oriented model of network formation on interbank credit relations
Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey