UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

Barucca, P; Lillo, F; (2018) The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. Computational Management Science , 15 (1) pp. 33-53. 10.1007/s10287-017-0293-6. Green open access

[thumbnail of 1511.08068v3.pdf]
Preview
Text
1511.08068v3.pdf - Accepted version

Download (523kB) | Preview

Abstract

The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model selection among several possible two block organizations of the network: these include bipartite, core-periphery, and modular structures. We apply our method to the e-MID interbank market in the period 2010–2014 and we show that in normal conditions the most likely network organization is a bipartite structure. In exceptional conditions, such as after LTRO, one of the most important unconventional measures by ECB at the beginning of 2012, the most likely structure becomes a random one and only in 2014 the e-MID market went back to a normal bipartite organization. By investigating the strategy of individual banks, we explore possible explanations and we show that the disappearance of many lending banks and the strategy switch of a very small set of banks from borrower to lender is likely at the origin of this structural change.

Type: Article
Title: The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s10287-017-0293-6
Publisher version: http://doi.org/10.1007/s10287-017-0293-6
Language: English
Additional information: © 2017, Springer-Verlag GmbH Germany. This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Financial networks; Core-periphery; Bipartite networks; Community detection; Money markets
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10046521
Downloads since deposit
60Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item