A Network Analysis of the Evolution of the German Interbank Market

30 Pages Posted: 21 Jun 2016

See all articles by Tarik Roukny

Tarik Roukny

Massachusetts Institute of Technology (MIT); KU Leuven - Faculty of Business and Economics (FEB)

Stefano Battiston

University of Zurich - Department of Banking and Finance; Ca Foscari University of Venice

Date Written: 2014

Abstract

In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and 2012 and characterize the underlying networks. Surprisingly, the data show little or no impact of the 2008 crisis on the structure of credit market. The derivative market however exhibits a peak of concentration in the run up to the crisis. Globally, both markets exhibit high stability for most of the networks metrics and high correlation amongst them.

Keywords: financial networks, interbank market, credit default swaps, liquidity

JEL Classification: G2, G21, D85

Suggested Citation

Roukny, Tarik and Roukny, Tarik and Battiston, Stefano, A Network Analysis of the Evolution of the German Interbank Market (2014). Bundesbank Discussion Paper No. 22/2014, Available at SSRN: https://ssrn.com/abstract=2796998 or http://dx.doi.org/10.2139/ssrn.2796998

Tarik Roukny (Contact Author)

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Stefano Battiston

University of Zurich - Department of Banking and Finance ( email )

Andreasstrasse 15
Zürich, 8050
Switzerland

Ca Foscari University of Venice ( email )

Cannaregio 873
Venice, 30121
Italy

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
108
Abstract Views
694
rank
359,195
PlumX Metrics