Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208307
Authors: 
Hüser, Anne-Caroline
Kok Sørensen, Christoffer
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper 2273
Abstract: 
We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of securities to map these exposures among banks and economic and financial sectors. We can compare and contrast funding and exposure networks among banks themselves and of banks, non-banks and the wider economy. The analytical approach presented here is highly relevant for the design of appropriate prudential measures, since it supports the identification of counterparty risk, concentration risk and funding risk within the interbank network and the wider macro-financial network.
Subjects: 
Interbank networks
macro-financial networks
multilayer networks
market microstructure
macroprudential analysis
JEL: 
D85
E44
G21
L14
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3535-7
Document Type: 
Working Paper

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