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Fluctuations in interbank network dynamics.

Daniel O Cajueiro1, Benjamin M Tabak, Roberto F S Andrade

  • 1Departmento de Economia, Universidade de Brasília, 70910-900 Brasília, Brazil.

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
|April 28, 2009
PubMed
Summary
This summary is machine-generated.

This study examines how bank credit fluctuations scale in interbank networks. Results indicate these scaling exponents change over time, suggesting the network

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Area of Science:

  • * Financial Network Analysis
  • * Statistical Physics
  • * Complex Systems

Background:

  • * Interbank networks are crucial for financial system stability.
  • * Understanding credit flow dynamics is essential for risk management.
  • * Previous studies have explored network properties, but scaling of individual agent flux requires further investigation.

Purpose of the Study:

  • * To investigate the scaling properties of individual agent flux fluctuations in an interbank network.
  • * To analyze the relationship between an agent's flux and its average flux.
  • * To assess the temporal dynamics of these scaling properties.

Main Methods:

  • * Analysis of daily credit provided (asset) and received (liab) by individual banks.
  • * Calculation of raw flux fluctuations: f(i)(asset), f(i)(liab), and net flux f(R,i)(ext).
  • * Application of a methodology to derive internal and external flux fluctuations: f(i)(int) and f(i)(ext).
  • * Implementation of a rolling sampling approach to address non-stationarity in flux data.

Main Results:

  • * Identified scaling properties in the fluctuations of individual bank fluxes (asset, liab, and net).
  • * Observed time-varying scaling exponents, indicating dynamic changes in the network.
  • * Demonstrated the utility of the rolling sampling method for non-stationary financial data.

Conclusions:

  • * The scaling exponents of bank flux fluctuations are not constant, implying a changing interbank network structure.
  • * The interbank network exhibits dynamic behavior, with scaling properties evolving over time.
  • * This research provides insights into the temporal evolution of financial networks.