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The multiplex structure of interbank networks |
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| Authors: | L. Bargigli G. di Iasio L. Infante F. Lillo F. Pierobon |
| Affiliation: | 1. Dipartimento di Scienze per l’Economia e l’Impresa, Università di Firenze, Via delle Pandette 32, Firenze, 50127, Italy.leonardo.bargigli@unifi.it;3. Directorate General Economics, Statistics and Research, Bank of Italy, via Nazionale 91, Rome, 00184, Italy.;4. Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa, 56126, Italy.;5. Dipartimento di Fisica e Chimica, Università degli Studi di Palermo, Viale delle Scienze Ed. 18, Palermo, 90128, Italy.;6. Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM, 87501, USA.;7. Banking and Financial Supervision, Bank of Italy, via Nazionale 91, Rome, 00184, Italy. |
| Abstract: | The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports on Italian banks to the Banca d’Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk. |
| Keywords: | Interbank market Network theory Systemic risk |