Mapping change in the overnight money market

Bech, Morten L (author)

Bergstrom, Carl T (author)

Garratt, Rodney J (author)

(creator_code:org_t)

Related links:: https://urn.kb.se/re...; show more...; https://doi.org/10.1...; show less...

Abstract Subject headings

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.

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)

By the author/editor: Bech, Morten L; Bergstrom, Carl ...; Rosvall, Martin; Garratt, Rodney ...

About the subject

SOCIAL SCIENCES: SOCIAL SCIENCES; and Economics and Bu ...; and Business Adminis ...

NATURAL SCIENCES: NATURAL SCIENCES; and Physical Science ...; and Other Physics To ...

NATURAL SCIENCES: NATURAL SCIENCES; and Mathematics; and Probability Theo ...

Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.