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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1782
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Crises
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
- Thema
-
interbank market
network models
financial crisis
Geldmarkt
Unternehmensnetzwerk
Finanzmarktkrise
Schätzung
Italien
Europa
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Finger, Karl
Fricke, Daniel
Lux, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Finger, Karl
- Fricke, Daniel
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2012
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