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Beyond the power law: Uncovering stylized facts in interbank networks

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  • Vandermarliere, Benjamin
  • Karas, Alexei
  • Ryckebusch, Jan
  • Schoors, Koen

Abstract

We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over August 1998–October 2004. Specifically, we examine the distributions of (un)directed (un)weighted degree, nodal attributes (bank assets, capital and capital-to-assets ratio) and edge weights (loan size and counterparty exposure). We search for the theoretical distribution that fits the data best and report the “best” fit parameters.

Suggested Citation

  • Vandermarliere, Benjamin & Karas, Alexei & Ryckebusch, Jan & Schoors, Koen, 2015. "Beyond the power law: Uncovering stylized facts in interbank networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 443-457.
    • Handle: RePEc:eee:phsmap:v:428:y:2015:i:c:p:443-457
    DOI: 10.1016/j.physa.2015.01.058
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