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Title:Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes PDF Logo
Authors:Finger, Karl
Fricke, Daniel
Lux, Thomas
Issue Date:2012
Series/Report no.:Kiel Working Paper 1782
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.
Subjects:interbank market
network models
financial crisis
JEL:G21
G01
E42
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IfW
Kieler Arbeitspapiere, IfW

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