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01398nam a2200217Ia 4500 |
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10.1016-j.jfineco.2019.02.006 |
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220511s2019 CNT 000 0 und d |
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|a 0304405X (ISSN)
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| 245 |
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|a Interconnectedness in the interbank market
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| 260 |
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|b Elsevier B.V.
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1016/j.jfineco.2019.02.006
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|a We study the behavior of the interbank market around the 2008 financial crisis. Using network analysis, we study two network structures, correlation networks based on publicly traded bank returns and physical networks based on interbank lending transactions, among these public and also private banks. While the two networks behave similarly pre-crisis, during the crisis the correlation network shows an increase in interconnectedness, while the physical network highlights a marked decrease in interconnectedness. Moreover, these networks respond differently to monetary and macroeconomic shocks. Physical networks forecast liquidity problems, while correlation networks forecast financial crises. © 2019
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|a Banking sector
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|a Financial crises
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|a Macroprudential regulation
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|a Network analysis
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| 700 |
1 |
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|a Brunetti, C.
|e author
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1 |
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|a Harris, J.H.
|e author
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|a Mankad, S.
|e author
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|a Michailidis, G.
|e author
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| 773 |
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|t Journal of Financial Economics
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