NDLI: On the distribution of links in the interbank network: evidence from the e-MID overnight money market

Content Provider	Springer Nature Link
Author	Fricke, Daniel Lux, Thomas
Copyright Year	2015
Abstract	Previous literature on statistical properties of interbank networks has reported various power-laws, particularly for the degree distribution (i.e., the distribution of credit links between institutions). In this paper, we revisit data for the Italian interbank network based on overnight loans recorded on the e-MID trading platform during the period 1999–2010 using both daily and quarterly aggregates. In contrast to previous reports, we find no evidence in favor of a power-law characterizing the degree distribution. Rather, the data are best described by negative Binomial distributions. For quarterly data, Weibull, Gamma, and Exponential distributions tend to provide comparable fits. We find similar results when investigating the distribution of the number of transactions, even though in this case, the tails of the quarterly variables are much fatter. The absence of power-law behavior casts doubts on previous claims that these interbank data fall into the category of scale-free networks.
Starting Page	1463
Ending Page	1495
Page Count	33
File Format	PDF
ISSN	03777332
Journal	Empirical Economics
Volume Number	49
Issue Number	4
e-ISSN	14358921
Language	English
Publisher	Springer Berlin Heidelberg
Publisher Date	2015-02-13
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Interbank market Network models Financial network Systemic risk Power-law Econometrics Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory/Quantitative Economics/Mathematical Methods
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Social Sciences Economics and Econometrics

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

Title : On the Distribution of Links in the Interbank Network : Evidence from the e-Mid Overnight Money Market Author :

On the distribution of links in the interbank network: Evidence from the e-mid overnight money market

The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

Insurance–growth nexus and macroeconomic determinants: evidence from middle-income countries

Money demand and the shadow economy: empirical evidence from OECD countries

Empirical modeling of money demand

Financial Econometrics and Empirical Market Microstructure

The interaction between globalization and financial development: new evidence from panel cointegration and causality analysis

On the distribution of links in the interbank network: evidence from the e-MID overnight money market

Similar Documents

Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

Title : On the Distribution of Links in the Interbank Network : Evidence from the e-Mid Overnight Money Market Author :

On the distribution of links in the interbank network: Evidence from the e-mid overnight money market

The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

Insurance–growth nexus and macroeconomic determinants: evidence from middle-income countries

Money demand and the shadow economy: empirical evidence from OECD countries

Empirical modeling of money demand

Financial Econometrics and Empirical Market Microstructure

The interaction between globalization and financial development: new evidence from panel cointegration and causality analysis

On the distribution of links in the interbank network: evidence from the e-MID overnight money market