Mapping Bank Securities across Euro Area Sectors: Comparing Funding and Exposure Networks

39 Pages Posted: 1 May 2019

Date Written: April 26, 2019

Abstract

We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of securities to map these exposures among banks and economic and financial sectors. We can compare and contrast funding and exposure networks among banks themselves and of banks, non-banks and the wider economy. The analytical approach presented here is highly relevant for the design of appropriate prudential measures, since it supports the identification of counterparty risk, concentration risk and funding risk within the interbank network and the wider macro-financial network.

Keywords: interbank networks, macro-financial networks, multilayer networks, market microstructure, macroprudential analysis

JEL Classification: D85, E44, G21, L14

Suggested Citation

Hüser, Anne-Caroline and Kok, Christoffer, Mapping Bank Securities across Euro Area Sectors: Comparing Funding and Exposure Networks (April 26, 2019). ECB Working Paper No. 2273 (2019); ISBN 978-92-899-3535-7 . Available at SSRN: https://ssrn.com/abstract=3379622

Anne-Caroline Hüser (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Christoffer Kok

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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