Kiel Working Papers, Kiel Institute for World Economics
No 1819:
On the Distribution of Links in the Interbank Network: Evidence from the e-Mid Overnight Money Market
Daniel Fricke and Thomas Lux
Abstract: Previous literature on statistical properties of interbank
loans 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 con- trast to
previous authors, we find no evidence in favor of scale-free networks.
Rather, the data are best described by negative Binomial distributions. For
quarterly data, Weibull, Gamma, and Exponential distributions tend to
provide comparable ts. We find comparable re- sults 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 the claim that interbank data fall into the
category of scale-free networks
Keywords: interbank market, network models; (follow links to similar papers)
JEL-Codes: G21,; G01,; E42; (follow links to similar papers)
41 pages, January 2013
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