orr Network formation in the interbank money market: An application of the actor-oriented model
orr Network formation in the interbank money market: An application of the actor-oriented model
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DOI：
10.1016/j.socnet.2015.11.005
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发表时间：
2017-01-01
期刊：
影响因子：
3.1
通讯作者：
Lux, Thomas
中科院分区：
文献类型：
--
作者：
Finger, Karl;Lux, Thomas
本文运用随机行为者导向模型(SAOM)研究了银行在银行间市场上形成联系的驱动力。我们的数据由2001至2010年间银行间信贷电子交易平台(e-MID)上的交易构成的季度网络组成。该分析有力地支持了这样一种假设，即过去信贷关系的存在和程度是随后时期信贷拨备(即联系形成)的主要决定因素。我们还发现，规模相关特征的解释能力很强，但过去利率的影响很小。因此，基于参与者的分析证实了流行的观点，即银行间信贷主要由持久的业务关系决定，而不是由对最佳价格(利率)的竞争决定。我们的发现还表明，拓扑特征对网络的形成过程有一定的影响。在金融危机爆发后的一段时间内发现的主要变化是：(1)大型银行和那些被确定为“核心”中介机构的机构更容易成为交易对手；(2)间接交易对手风险似乎更令人担忧，因为我们发现，正如集群效应所表明的那样，避免间接风险敞口的趋势更大。(C)2016爱思唯尔B.V.保留所有权利。
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM). Our data consists of quarterly networks constructed from the transactions on an electronic trading platform (e-MID) for interbank credit over the period from 2001 to 2010. The analysis strongly supports the hypothesis that the existence and extent of past credit relationships is a major determinant of credit provision (i.e., link formation) in subsequent periods. We also find explanatory power of size-related characteristics, but little influence of past interest rates. The actor based analysis, thus, confirms the prevalent view that interbank credit is mainly determined by lasting business relationships and less so by competition for the best price (interest rate). Our findings also show that topological features exert a certain influence on the network formation process. The major changes found for the period after the onset of the financial crisis are that: (1) large banks and those identified as 'core' intermediaries became even more sought of as counterparties and (2) indirect counterparty risk appeared to be more of a concern as we find a higher tendency to avoid indirect exposure as indicated by clustering effects. (C) 2016 Elsevier B.V. All rights reserved.