A closed-form exponential random graph model for weighted directed networks with binary and weighted reciprocity constraints shows pre-crisis Italian interbank reciprocity exceeded size and volume predictions and collapsed in the crisis.
Stylized facts in money markets: an empirical analysis of the eurozone data
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abstract
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in- and out-degree symmetry than what is reported for unsecured markets.
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Reciprocity in Interbank Markets
A closed-form exponential random graph model for weighted directed networks with binary and weighted reciprocity constraints shows pre-crisis Italian interbank reciprocity exceeded size and volume predictions and collapsed in the crisis.