Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68613
Authors: 
Fricke, Daniel
Lux, Thomas
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1819
Abstract: 
Previous literature on statistical properties of interbank loans has reported various power-laws, particularly for the degree distribution (i.e. the distribution of credit links between institutions). In this paper, we revisit data for the Italian interbank network based on overnight loans recorded on the e-MID trading platform during the period 1999-2010 using both daily and quarterly aggregates. In contrast to previous authors, we find no evidence in favor of scale-free networks. Rather, the data are best described by negative Binomial distributions. For quarterly data, Weibull, Gamma, and Exponential distributions tend to provide comparable fits. We find comparable results when investigating the distribution of the number of transactions, even though in this case the tails of the quarterly variables are much fatter. The absence of power-law behavior casts doubts on the claim that interbank data fall into the category of scale-free networks.
Subjects: 
interbank market
network models
JEL: 
G21
G01
E42
Document Type: 
Working Paper

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