A Network View on Interbank Liquidity

Deutsche Bundesbank Discussion Paper 44/2014

Banque de France Working Paper No. 531

47 Pages Posted: 3 Jan 2015 Last revised: 8 Aug 2017

See all articles by Silvia Gabrieli

Silvia Gabrieli

Banque de France

Co-Pierre Georg

Deutsche Bundesbank; University of Cape Town (UCT)

Multiple version iconThere are 2 versions of this paper

Date Written: August 7, 2017

Abstract

The euro area overnight interbank market is best described as a network of over-the-counter lending relationships. We study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European banks. We show the existence of a centrality premium when banks act as intermediaries of liquidity: banks with a one standard deviation higher betweenness centrality capture a 30% larger intermediation spread. Our results are in line with predictions from models of intermediation and bargaining in networks, but are difficult to reconcile with search based models of over-the-counter markets.

Keywords: interbank networks, liquidity, bargaining power

JEL Classification: D85, E5, G1, G21

Suggested Citation

Gabrieli, Silvia and Georg, Co-Pierre, A Network View on Interbank Liquidity (August 7, 2017). Deutsche Bundesbank Discussion Paper 44/2014; Banque de France Working Paper No. 531. Available at SSRN: https://ssrn.com/abstract=2544603 or http://dx.doi.org/10.2139/ssrn.2544603

Silvia Gabrieli (Contact Author)

Banque de France ( email )

32 rue Croix des Petits Champs
Paris, 75001
France

Co-Pierre Georg

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

University of Cape Town (UCT) ( email )

Private Bag X3
Rondebosch, Western Cape 7701
South Africa

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