Arbeitspapier
Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes
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.
- Language
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Englisch
- Bibliographic citation
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Series: Kiel Working Paper ; No. 1782
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Crises
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
- Subject
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interbank market
network models
financial crisis
Geldmarkt
Unternehmensnetzwerk
Finanzmarktkrise
Schätzung
Italien
Europa
- Event
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Geistige Schöpfung
- (who)
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Finger, Karl
Fricke, Daniel
Lux, Thomas
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Finger, Karl
- Fricke, Daniel
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2012
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