The Multiplex Structure of Interbank Networks

41 Pages Posted: 12 Nov 2013 Last revised: 16 Jan 2014

See all articles by Leonardo Bargigli

Leonardo Bargigli

University of Florence - Department of Economics and Management

Giovanni di Iasio

Bank of Italy

Luigi Infante

Bank of Italy

Fabrizio Lillo

Università di Bologna

Federico Pierobon

European Central Bank

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

Bargigli, Leonardo and di Iasio, Giovanni and Infante, Luigi and Lillo, Fabrizio and Pierobon, Federico, The Multiplex Structure of Interbank Networks (November 11, 2013). Available at SSRN: https://ssrn.com/abstract=2352787 or http://dx.doi.org/10.2139/ssrn.2352787

Leonardo Bargigli (Contact Author)

University of Florence - Department of Economics and Management ( email )

via delle Pandette 32
Florence, Florence 50127
Italy

Giovanni Di Iasio

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

Luigi Infante

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Fabrizio Lillo

Università di Bologna ( email )

Via Zamboni, 33
Bologna, 40126
Italy

Federico Pierobon

European Central Bank ( email )

Germany

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