Arbeitspapier
A network analysis of the evolution of the German interbank market
In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and 2012 and characterize the underlying networks. Surprisingly, the data show little or no impact of the 2008 crisis on the structure of credit market. The derivative market however exhibits a peak of concentration in the run up to the crisis. Globally, both markets exhibit high stability for most of the networks metrics and high correlation amongst them.
- Sprache
-
Englisch
- ISBN
-
978-3-95729-057-1
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 22/2014
Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Network Formation and Analysis: Theory
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Network Formation and Analysis: Theory
Thema
financial networks
interbank market
credit default swaps
liquidity
interbank market
credit default swaps
liquidity
Ereignis
Geistige Schöpfung
(wer)
Roukny, Tarik
Georg, Co-Pierre
Battiston, Stefano
Georg, Co-Pierre
Battiston, Stefano
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2014
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Roukny, Tarik
- Georg, Co-Pierre
- Battiston, Stefano
- Deutsche Bundesbank
Entstanden
- 2014
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