Computational Economics

, Volume 45, Issue 3, pp 359–395 | Cite as

Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

  • Daniel Fricke
  • Thomas LuxEmail author


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 core–periphery 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 core–periphery 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.


Interbank market Network models Systemic risk  Financial crisis 

JEL Classification

G21 G01 E42 



The article is part of a research initiative launched by the Leibniz Community. We also acknowledge support by the European Union Seventh Framework Programme FP7/2007-2013 under CRISIS-ICT-2011 grant agreement no. 288501 and THEME-SSH-2013 grant agreement no. 612955. We are grateful to the participants of the SNA Workshop 2011 at the Vrije Universiteit Amsterdam, seminar participants at the Kiel Institute for the World Economy, Karl Finger, Sheri Markose, Uli Stolzenburg, and two anonymous referees for their helpful and detailed comments.

Supplementary material

10614_2014_9427_MOESM1_ESM.pdf (409 kb)
Supplementary material 1 (pdf 409 KB)


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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Institute for New Economic Thinking, Oxford Martin SchoolUniversity of OxfordOxfordUK
  2. 2.CABDyN Complexity Centre, Saïd Business SchoolUniversity of OxfordOxfordUK
  3. 3.Kiel Institute for the World EconomyKielGermany
  4. 4.Department of EconomicsUniversity of KielKielGermany
  5. 5.Banco de España Chair in Computational EconomicsUniversity Jaume ICastellónSpain

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