Kiel Working Papers, Kiel Institute for World Economics
No 1782:
Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes
Karl Finger, Daniel Fricke and Thomas Lux
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; (follow links to similar papers)
JEL-Codes: G21,; G01,; E42; (follow links to similar papers)
26 pages, July 2012
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