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

F. Lillo, P. Barucca

Computational Management Science 15, 33 (2018)

#financialnetworks#bipartitenetworks#economics

Download the PDF

LQ placeholderA sudden change of banks' strategies took place after the Long Term Refinancing Operations initiated by the European Central Banks.

A sudden change of banks' strategies took place after the Long Term Refinancing Operations initiated by the European Central Banks.

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.

LQ placeholder

Imaginary replica analysis of loopy regular random graphs

F. Lopez, T. Coolen

Sub. to Journal of Physics A

LQ placeholder

Taming complexity

M. Reeves, S. Levin, T. Fink, A. Levina

Harvard Business Review

LQ placeholder

Degree-correlations in a bursting dynamic network model

F. Vanni, P. Barucca

Journal of Economic Interaction and Coordination

LQ placeholder

Scale of non-locality for a system of n particles

S. Talaganis, I. Teimouri

Sub. to Physical Review D

LQ placeholder

How much can we influence the rate of innovation?

T. Fink, M. Reeves

Science Advances

123 / 123 papers