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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
URN: urn:nbn:se:umu:diva-101587DOI: 10.1016/j.physa.2014.11.034ISI: 000350192200006OAI: diva2:804948
Available from: 2015-04-14 Created: 2015-04-07 Last updated: 2015-04-14Bibliographically approved

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Rosvall, Martin
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