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- Bech, Morten L (author)
Mapping change in the overnight money market
- Article/chapterEnglish2015
Publisher, publication year, extent ...
- Elsevier,2015
- printrdacarrier
Numbers
- LIBRIS-ID:oai:DiVA.org:umu-101587
- https://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-101587URI
- https://doi.org/10.1016/j.physa.2014.11.034DOI
Supplementary language notes
- Language:English
- Summary in:English
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- SwePubSwePub
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Notes
- We use an information-theoretic approach to describe changes in lending relationships between financial institutions around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum likelihood estimation on undirected networks our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multi-bank lending cycles) that extend beyond the immediate counter-parties. We detect significant changes in lending patterns following implementation of the Interest on Required and Excess Reserves policy by the Federal Reserve in October 2008. Analysis of micro-scale rates of change in the data suggests these changes were triggered by the collapse of Lehman Brothers a few weeks before.
Subject headings and genre
- SAMHÄLLSVETENSKAP Ekonomi och näringsliv Företagsekonomi hsv//swe
- SOCIAL SCIENCES Economics and Business Business Administration hsv//eng
- NATURVETENSKAP Fysik Annan fysik hsv//swe
- NATURAL SCIENCES Physical Sciences Other Physics Topics hsv//eng
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- network
- money market
- topology
- mapping change
- alluvial diagram
Added entries (persons, corporate bodies, meetings, titles ...)
- Bergstrom, Carl T (author)
- Rosvall, MartinUmeå universitet,Institutionen för fysik,Icelab(Swepub:umu)maro0001 (author)
- Garratt, Rodney J (author)
- Umeå universitetInstitutionen för fysik (creator_code:org_t)
Related titles
- In:Physica A: Elsevier424, s. 44-510378-43711873-2119
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