@techreport{Finger2012Network,
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.},
address = {Kiel},
author = {Karl Finger and Daniel Fricke and Thomas Lux},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G21; G01; E42; 330; interbank market; network models; financial crisis; Geldmarkt; Unternehmensnetzwerk; Finanzmarktkrise; Sch\"{a}tzung; Italien; Europa},
language = {eng},
number = {1782},
publisher = {Kiel Institute for the World Economy (IfW)},
title = {Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes},
type = {Kiel Working Paper},
url = {http://hdl.handle.net/10419/60331},
year = {2012}
}
