Mapping the UK interbank system |
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| Institution: | 1. Bank of England, UK;2. European Central Bank, Germany;1. National School of Development Peking University;2. Graduate School of Business Administration Fordham University;1. Goethe University Frankfurt & Bundesbank Research Centre, Germany;2. European Central Bank, Germany;1. Columbia Business School, Columbia University, United States;2. Department of Economics, University of Oxford, United Kingdom;3. Institute for New Economic Thinking, Oxford Martin School, United Kingdom;4. Office of Financial Research, U.S. Treasury, United States;1. Centre for Risk Studies, Cambridge Judge Business School, University of Cambridge, Trumpington St, Cambridge CB2 1AG, UK;2. Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA;3. University of New Mexico, Albuquerque, NM 87131, USA;4. Institute of New Economic Thinking and Mathematical Institute, 24-29 St. Giles, University of Oxford, Oxford OX1 3LB, UK;1. Portsmouth Business School, University of Portsmouth, Richmond Building, Portland St., PO1 3DE Portsmouth, UK;2. School of Business Management and Economics, University of Sussex, Brighton, Falmer, Brighton BN1 9SL, UK;3. Fathom Consulting, 48 Gresham St., EC2V 7AY London, UK |
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| Abstract: | We present new evidence on the structure of interbank connections across key markets: derivatives, marketable securities, repo, unsecured lending and secured lending. Taken together, these markets comprise two networks: a network of interbank exposures and a network of interbank funding. Network structure varies across and within these two networks, for reasons related to markets’ different economic functions. Credit risk and liquidity risk therefore propagate in the interbank system through different network structures. We discuss the implications for financial stability. |
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| Keywords: | Interbank markets Core-periphery Intermediation Financial networks Market microstructure |
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