6533b85cfe1ef96bd12bd5cb
RESEARCH PRODUCT
The multiplex structure of interbank networks
Luigi InfanteLeonardo BargigliFabrizio LilloFederico PierobonGiovanni Di Iasiosubject
Financial economicsComputer scienceNetwork theoryjel:C4901 natural sciencesjel:G21FOS: Economics and businessInterbank marketInterbank network0502 economics and business0103 physical sciencesSystemic riskSystemic riskEconometrics050207 economicsLayer (object-oriented design)010306 general physicsjel:E51Principle of maximum entropy05 social sciencesRepresentation (systemics)Maturity (finance)interbank market network theory systemic riskNetwork theoryInterbank lending marketGeneral Finance (q-fin.GN)Quantitative Finance - General FinanceGeneral Economics Econometrics and FinanceFinancedescription
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2013-01-01 |