Network structure analysis of the Brazilian interbank market

详细信息    查看全文

• 作者：Thiago Christiano Silva^a ; ^b ; ^c ; ¹ ; ^{thiago.silva@bcb.gov.br" class="auth_mail" title="E-mail the corresponding author} ; Sergio Rubens Stancato de Souza^a ; ^{sergio.souza@bcb.gov.br" class="auth_mail" title="E-mail the corresponding author} ; Benjamin Miranda Tabak^c ; ¹ ; ^{benjaminm.tabak@gmail.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Network analysis ; Core-periphery ; Complex network ; Interbank market ; Systemic risk ; Financial stability
• 刊名：Emerging Markets Review
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：26
• 期：Complete
• 页码：130-152
• 全文大小：1110 K

文摘

In this paper, we provide a detailed analysis of the roles financial institutions play within the Brazilian interbank market using a network-based approach. We present a novel methodology to assess how compliant networks are to being perfect core-periphery structures. The approach is flexible, allowing for the identification of multiple cores in networks. We verify that the interbank network presents a high disassortative mixing pattern, suggesting preferential attachment of highly connected financial institutions to others with few connections. We use the clustering coefficient to assess the substitutability of financial institutions. We find that large banking institutions are counterparties that are easily substitutable in normal times. We uncover that the rich-club effect is strongly present in the community comprising the large banking institutions, as they normally form near-clique structures. Since they play the role of liquidity providers in the interbank market, this interconnectedness effectively endows the network with robustness, as participants that are with liquidity issues can easily substitute counterparties that are liquidity suppliers. This substitutability will likely vanish during periods of stress, increasing systemic risk and the likelihood of cascade failures.