Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60331
Authors: 
Finger, Karl
Fricke, Daniel
Lux, Thomas
Year of Publication: 
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

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