D. in 't Veld
I. van Lelyveld
- Finding the core: network structure in interbank markets
- Journal of Banking & Finance
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- This paper investigates the network structure of interbank markets. Using a dataset of interbank exposures in the Netherlands, we corroborate the recent hypothesis that the core periphery model is a ‘stylised fact’ of interbank markets. We find a core of highly connected banks intermediating between periphery banks and pay particular attention to model selection. Our analysis can help improve systemic risk assessments, especially as more granular data is becoming available.
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