The Multiplex Structure of Interbank Networks
41 Pages Posted: 12 Nov 2013 Last revised: 16 Jan 2014
Date Written: November 11, 2013
Abstract
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.
Keywords: interbank market, network theory, systemic risk
JEL Classification: E51, G21, C49
Suggested Citation: Suggested Citation
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- Citations
- Citation Indexes: 24
- Policy Citations: 5
- Usage
- Abstract Views: 1766
- Downloads: 122
- Captures
- Readers: 7
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