Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156399
Authors: 
Luu, Duc Thi
Lux, Thomas
Yanovski, Boyan
Year of Publication: 
2017
Series/Report no.: 
Economics Working Paper 2017-02
Abstract: 
We study the structural correlations in the Italian overnight money market over the period 1999-2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and examine whether higher-level characteristics of the observed network can be statistically reconstructed by maximizing the entropy of a randomized ensemble of networks restricted only by the lower-order features of the observed network. We find that often many of the high order correlations in the observed network can be considered emergent from the information embedded in the degree sequence in the binary version and in both the degree and strength sequences in the weighted version. However, this information is not enough to allow the models to account for all the patterns in the observed higher order structural correlations. In particular, one of the main features of the observed network that remains unexplained is the abnormally high level of weighted clustering in the years preceding the crisis, i.e. the huge increase in various indirect exposures generated via more intensive interbank credit links.
Subjects: 
Interbank Network
Structural Correlations
Clustering Coefficients
Configuration Models
Network Reconstruction
JEL: 
G21
G01
E42
Document Type: 
Working Paper
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