Interconnectedness in the interbank market

• 成果类型: Article
• 署名作者: Brunetti, Celso; Harris, Jeffrey H.; Mankad, Shawn; Michailidis, George
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; American University; Cornell University; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.02.006
• 发表日期: 2019
• 页码: 520-538
• 关键词: network analysis; Macroprudential regulation; financial crises; Banking sector

摘要

We study the behavior of the interbank market around the 2008 financial crisis. Using network analysis, we study two network structures, correlation networks based on publicly traded bank returns and physical networks based on interbank lending transactions, among these public and also private banks. While the two networks behave similarly pre-crisis, during the crisis the correlation network shows an increase in interconnectedness, while the physical network highlights a marked decrease in interconnectedness. Moreover, these networks respond differently to monetary and macroeconomic shocks. Physical networks forecast liquidity problems, while correlation networks forecast financial crises. Published by Elsevier B.V.