银行间网络的组织以及ECB非常规措施如何影响e-MID隔夜市场
The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
摘要：
银行间网络的拓扑性质已经在文献中被广泛讨论，主要是因为它们与系统性风险的相关性。在这里，我们建议使用随机块模型来研究和执行网络的几个可能的两个块组织之间的模型选择：这些包括二分，核心外围和模块化结构。我们将我们的方法应用于2010-2014年期间的e-MID银行间市场，我们表明，在正常情况下，最有可能的网络组织是一个二分结构。在特殊情况下，例如在2012年初欧洲央行最重要的非常规措施之一LTRO之后，最有可能的结构变为随机结构，直到2014年，e-MID市场才恢复到正常的双边组织。通过调查个别银行的战略，我们探索可能的解释，我们表明，许多贷款银行的消失和一小部分银行从借款人到贷款人的战略转变可能是这种结构性变化的起源。
英文摘要：
The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model selection among several possible two block organizations of the network: these include bipartite, core-periphery, and modular structures. We apply our method to the e-MID interbank market in the period 2010-2014 and we show that in normal conditions the most likely network organization is a bipartite structure. In exceptional conditions, such as after LTRO, one of the most important unconventional measures by ECB at the beginning of 2012, the most likely structure becomes a random one and only in 2014 the e-MID market went back to a normal bipartite organization. By investigating the strategy of individual banks, we explore possible explanations and we show that the disappearance of many lending banks and the strategy switch of a very small set of banks from borrower to lender is likely at the origin of this structural change.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
