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A network analysis of the Italian overnight money market

Iori, Giulia and De Masi, Giulia and Precup, Ovidiu Vasile and Gabbi, Giampaolo and Caldarelli, Guido A network analysis of the Italian overnight money market. Journal of Economic Dynamics and Control, 32 (1). 259 - 278. ISSN 0165-1889 (2008)

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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.

Item Type: Article
Identification Number: 10.1016/j.jedc.2007.01.032
Uncontrolled Keywords: Interbank market; Financial stability; Random networks; JEL classification: E5; G21
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 01 Feb 2012 12:00
Last Modified: 06 Apr 2016 08:58
URI: http://eprints.imtlucca.it/id/eprint/1098

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