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dc.contributor.author
Temizsoy, Asena
dc.contributor.author
Lori, Giulia
dc.contributor.author
Montes Rojas, Gabriel Victorio
dc.date.available
2018-09-18T22:25:26Z
dc.date.issued
2017-12
dc.identifier.citation
Temizsoy, Asena; Lori, Giulia; Montes Rojas, Gabriel Victorio; Network centrality and funding rates in the e-MID interbank market; Elsevier Academic Press Inc; Journal of Financial Stability; 33; 12-2017; 346-365
dc.identifier.issn
1572-3089
dc.identifier.uri
http://hdl.handle.net/11336/60197
dc.description.abstract
This paper empirically investigates the role of banks’ network centrality in the interbank market on their funding rates. Specifically we analyze transaction data from the e-MID market, the only electronic interbank market in the Euro Area and US, over the period 2006–2009 that encompasses the global financial crisis. We show that interbank spreads are significantly affected by both local and global measures of connectedness. The effects of network centrality increased as the financial crisis evolved. Local measures show that having more links increases borrowing costs for borrowers and reduces premia for lenders. For global network centrality, borrowers receive a significant discount if they increase their intermediation activity and become more central, while lenders pay in general a premium (i.e. receive lower rates) for centrality. This provides evidence of the ‘too-interconnected-to-fail’ hypothesis.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier Academic Press Inc
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Interbank Market
dc.subject
Network Centrality
dc.subject
Overnight Loans
dc.subject.classification
Economía, Econometría
dc.subject.classification
Economía y Negocios
dc.subject.classification
CIENCIAS SOCIALES
dc.title
Network centrality and funding rates in the e-MID interbank market
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-09-11T14:53:29Z
dc.identifier.eissn
1878-0962
dc.journal.volume
33
dc.journal.pagination
346-365
dc.journal.pais
Países Bajos
dc.journal.ciudad
Amsterdam
dc.description.fil
Fil: Temizsoy, Asena. City University of London; Reino Unido
dc.description.fil
Fil: Lori, Giulia. City University of London; Reino Unido
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Autònoma de Barcelona; España
dc.journal.title
Journal of Financial Stability
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S1572308916301541
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.jfs.2016.11.003
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