IDEAS home Printed from https://ideas.repec.org/a/bcr/ensayo/v1y2020i75p50-81.html
   My bibliography  Save this article

Network effects in interbank markets of Call and Repo in Argentina

Author

Listed:
  • Pedro Elosegui

    (BCRA, UNLP)

  • Gabriel Montes-Rojas

    (CONICET, IIEP-BAIRES (UBA))

Abstract

The effect of network centrality on interest rate spreads in Argentine interbank markets is studied, both in the unsecured (Call) and in the guaranteed (Repo) markets where the BCRA operates. Markets differ in terms of collateral and microstructure. Measures of local and global centrality are used as explanatory variables in a regression on panel data with pairwise fixed effects. The local centrality measures are significant only in the Repo market, the global ones in both markets, although with different effects. The impact of centrality measures on liquidity reveals their importance for monitoring systemic risk.

Suggested Citation

  • Pedro Elosegui & Gabriel Montes-Rojas, 2020. "Network effects in interbank markets of Call and Repo in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(75), pages 50-81, November.
    • Handle: RePEc:bcr:ensayo:v:1:y:2020:i:75:p:50-81
    as

    Download full text from publisher

    File URL: http://www.bcra.gov.ar/Institucional/DescargaPDF/DownloadPDF.aspx?Id=934
    File Function: Spanish version (versión en Español)
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    networks; clusters; interbank market;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcr:ensayo:v:1:y:2020:i:75:p:50-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Federico Grillo (email available below). General contact details of provider: https://edirc.repec.org/data/bcraaar.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.