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Computational Management Science

, Volume 10, Issue 2–3, pp 187–211 | Cite as

Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes

  • Karl Finger
  • Daniel Fricke
  • Thomas LuxEmail author
Original Paper

Abstract

In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999–2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying ‘latent’ network. Rather, the development of various network statistics under time aggregation points toward strong non-random determinants of link formation. We also identify the global financial crisis as a significant structural break for many network measures.

Keywords

Interbank market Network models Financial crisis 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Institute for Quantitative Business and Economics Research (QBER)University of KielKielGermany
  2. 2.Department of EconomicsUniversity of KielKielGermany
  3. 3.Kiel Institute for the World EconomyKielGermany
  4. 4.Banco de España Chair in Computational EconomicsUniversity Jaume ICastellonSpain

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