阿根廷银行间货币市场的网络拓扑
Network topology of the Argentine interbank money market
摘要：
本文首次对阿根廷银行间货币市场进行了实证网络分析。它的主要拓扑特征应用图论进行了研究，重点是从2003年到2017年结算的无担保隔夜贷款。网络，银行的节点和它们之间的操作代表的链接，表现出低密度，更高的互惠性比可比的随机图，短的平均距离，其聚类系数仍然高于一个相同大小的随机网络。此外，网络具有显著的歧视性。其结构性指标经历了重大波动，与经济活动波动和监管变化相关。在收缩期间检测到节点的类似随机行为的迹象。度分布更适合对数正态分布，而不是泊松分布或幂律分布。此外，计算不同的节点中心性措施。结果发现，较高的中心性使一个节点，以解决更方便的双边利率相比，平均市场利率，确定一个统计和经济上的显着影响，通过回归分析。这些结果构成了系统性风险评估的相关投入，并为未来的理论建模和冲击模拟提供了坚实的经验基础，特别是在金融体系不发达的情况下。
英文摘要：
This paper provides the first empirical network analysis of the Argentine interbank money market. Its main topological features are examined applying graph theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The network, where banks are the nodes and the operations between them represent the links, exhibits low density, a higher reciprocity than comparable random graphs, short average distances and its clustering coefficient remains above that of a random network of equal size. Furthermore, the network is prominently disassortative. Its structural metrics experienced significant volatility, in correlation with the economic activity fluctuations and regulatory shifts. Signs of nodes' random-like behavior are detected during contractions. The degree distributions fit better to a Lognormal distribution than to a Poisson or a Power Law. Additionally, different node centrality measures are computed. It is found that a higher centrality enables a node to settle more convenient bilateral interest rates compared to the average market rate, identifying a statistical and economically significant effect by means of a regression analysis. These results constitute a relevant input for systemic risk assessment and provide solid empirical foundations for future theoretical modelling and shock simulations, especially in the context of underdeveloped financial systems.
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