CorePeriphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform
We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a coreperiphery model. Our main findings are: (1) the identified core is quite stable over time in its size as well as in many structural properties, (2) there is also high persistence over time of banks identified positions as members of the core or periphery, (3) allowing for asymmetric coreness with respect to lending and borrowing considerably improves the fit and reveals a high level of asymmetry and relatively little correlation between banks in-coreness and out-coreness, and (4) we show that the identified coreperiphery structure could not have been obtained spuriously from random networks. During the financial crisis of 2008, the reduction of interbank lending was mainly due to core banks reducing their numbers of active outgoing links.
financial crisis interbank market network models systemic risk g21 g01 e42