A network analysis of the Italian overnight money market

被引：296

作者：

Iori, Giulia ^{[1
]}

De Masi, Giulia ^{[2
]}

Precup, Ovidlu Vasile ^{[3
]}

Gabbi, Giampaolo ^{[4
,5
]}

Caldarelli, Guido ^{[6
]}

机构：

[1] City Univ London, Dept Econ, London EC1V 0HB, England

[2] Univ Aquila, Dept Phys, I-67010 Coppito, Laquila, Italy

[3] Kings Coll London, Dept Math, London WC2R 2LS, England

[4] Univ Siena, Financial Econ Dept, I-53100 Siena, Italy

[5] SDA Bocconi Sch Management, Banks Financial Inst & Insurance Co Div, I-20136 Milan, Italy

[6] Univ Roma La Sapienza, Dept Phys, I-00185 Rome, Italy

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2008年 / 32卷 / 01期

关键词：

interbank market; financial stability; random networks;

D O I：

10.1016/j.jedc.2007.01.032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The objective of this paper is to analyse the network topology of the Italian segment of the European overnight money market through methods of statistical mechanics applied to complex networks. We investigate differences in the activities of banks of different sizes and the evolution of their connectivity structure over the maintenance period. The main purpose of the analysis is to establish the potential implications of the current institutional arrangements on the stability of the banking system and to assess the efficiency of the interbank market in terms of absence of speculative and preferential trading relationships. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：259 / 278

页数：20

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