Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244261 
Year of Publication: 
2020
Series/Report no.: 
ESRB Working Paper Series No. 109
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
We design a statistical model for measuring the homogeneity of a financial network that evolves over time. Our model focuses on the level of diversi- fication of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitments towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable across time. We apply the model on an original dataset of Austrian interbank exposures. The temporal span encompasses the onset and development of the financial crisis in 2008 as well as the beginnings of the European sovereign debt crisis in 2011. Our analysis highlights an overall increasing trend for network homogeneity, whereby core banks have a tendency to distribute their market exposures more equally across their partners.
Subjects: 
Latent Variable Models
Dynamic Networks
Austrian Interbank Market
Systemic Risk
Bayesian Inference
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-135-8
Document Type: 
Working Paper

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