A network analysis of the Italian overnight money market
نویسندگان
چکیده
The objective of this paper is to analyse the network topology of the Italian segment of the European overnight money market through methods of statistical mechanics applied to complex networks. We investigate differences in the activities of banks of different sizes and the evolution of their connectivity structure over the maintenance period. The main purpose of the analysis is to establish the potential implications of the current institutional arrangements on the stability of the banking system and to assess the efficiency of the interbank market in terms of absence of speculative and preferential trading relationships. r 2007 Elsevier B.V. All rights reserved. JEL classification: E5; G21
منابع مشابه
Structural Correlations in the Italian Overnight Money Market: An Analysis Based on Network Configuration Models
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 randomi...
متن کاملNetwork analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes
In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying `latent' network. Rather, t...
متن کاملIdentifying a Core-Periphery Structure in the Italian Interbank Market.†
In this paper we investigate the core-periphery structure of the Italian interbank market. We construct quarterly networks from a dataset containing all overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking network, we estimate different versions of a core-periphery model. Our main n...
متن کاملOn the distribution of links in the interbank network: Evidence from the e-mid overnight money market
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 aggregat...
متن کاملComparing Technical and Economic Efficiency among Organic and Conventional Italian Olive Farms
In many European states such as Spain and Italy there has been a significant growth of organic utilizable surface as a consequence of both a change in the model of agricultural production and also in order to satisfy arising demand of organic food. The purpose of this research was to investigate the level of technical, allocative and economic efficiency in Italian olive farms with two different...
متن کامل