umu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Mapping change in the overnight money market
Umeå University, Faculty of Science and Technology, Department of Physics. (Icelab)
2015 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 424, 44-51 p.Article in journal (Refereed) Published
Abstract [en]

We use an information-theoretic approach to describe changes in lending relationships between financial institutions around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum likelihood estimation on undirected networks our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multi-bank lending cycles) that extend beyond the immediate counter-parties. We detect significant changes in lending patterns following implementation of the Interest on Required and Excess Reserves policy by the Federal Reserve in October 2008. Analysis of micro-scale rates of change in the data suggests these changes were triggered by the collapse of Lehman Brothers a few weeks before.

Place, publisher, year, edition, pages
Elsevier, 2015. Vol. 424, 44-51 p.
Keyword [en]
network, money market, topology, mapping change, alluvial diagram
National Category
Business Administration Other Physics Topics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-101587DOI: 10.1016/j.physa.2014.11.034ISI: 000350192200006OAI: oai:DiVA.org:umu-101587DiVA: diva2:804948
Available from: 2015-04-14 Created: 2015-04-07 Last updated: 2017-12-04Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Rosvall, Martin

Search in DiVA

By author/editor
Rosvall, Martin
By organisation
Department of Physics
In the same journal
Physica A: Statistical Mechanics and its Applications
Business AdministrationOther Physics TopicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 225 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf