Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

• Published in: Computational economics Vol. 45; no. 3; pp. 359 - 395
• Main Authors: Fricke, Daniel, Lux, Thomas
• Format: Journal Article
• Language: English
• Published: Boston Springer US 01.03.2015; Springer Nature B.V
• Subjects: Analysis; Banking industry; Banking system; Banks; Behavioral/Experimental Economics; Capital market; Computer Appl. in Social and Behavioral Sciences; Correlation; Datasets; Economic crisis; Economic theory; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Economics and Finance; Electronic trading systems; Financial crisis; Math Applications in Computer Science; Money markets; Operations Research/Decision Theory; Studies; Topology; Transactional analysis; Interbank market; E42; G21; Network models; G01; Systemic risk; Financial crisis

We explore the network topology arising from a dataset of the 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 system, we estimate different versions of a core–periphery model. Our m...