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原文連結
論文資訊
- 類型：已發表論文
- 日期：2014-10-23
摘要
The interbank market has a natural multiplex 網絡 representation. We employ a unique database of supervisory reports on Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum 熵 models reveal different unexpected substructures, such as 網絡 motifs, in different layers. Using the total interbank 網絡 or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.
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