论文标题
阿根廷银行货币市场的网络拓扑
Network topology of the Argentine interbank money market
论文作者
论文摘要
本文提供了阿根廷银行货币市场的首次经验网络分析。检查了其主要拓扑特征，以应用图理论进行检查，重点是2003年至2017年定居的不安全的过夜贷款。网络，银行是节点，它们之间的操作代表链接，表现出低密度，比可比的随机图表更高，较短的平均距离及其集群系数仍然超过了同等大小的随机网络。此外，该网络是显着分离的。它的结构指标与经济活动波动和监管转变相关。在收缩期间检测到节点的随机行为的迹象。该学位分布比泊松或权力法更适合对数正态分布。此外，计算了不同的节点中心度度量。发现与平均市场相比，较高的中心度使节点能够解决更方便的双边利率，从而通过回归分析确定统计和经济上的显着影响。这些结果构成了系统性风险评估的相关意见，并为未来的理论建模和冲击模拟提供了坚实的经验基础，尤其是在欠发达金融系统的背景下。
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.
