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Alexander
There has been quite a lot of research into interbank networks (based
on transaction data from interbank payment systems), both regarding
liquidity flows between banks and by looking at extracted interbank
lending networks. The research has mostly been carried out at central
banks and motivated from a payment system oversight or financial
stability perspective.
A good overview article is "Financial Networks and Financial
Stability" by the European Central Bank:
http://www.ecb.int/pub/fsr/shared/pdf/ivdfinancialstabilityreview201006en.pdf
I think the main reason for less research in financial flows between
non-bank firms is simply access to data.
Below are some papers looking into interbank networks in different
countries. I believe links to most papers are available in
http://www.financialnetworkanalysis.com/research-database/
Best,Kimmo
-------------------------------Kimmo SoramakiFounder, www.fna.fiBlog,
[log in to unmask]
---
Akram, F. and C. Christophersen (2010). “Interbank overnight interest
rates - gains from systemic importance”, Norges Bank Working Paper
11/2010.
Atalay E. and M.L. Bech (2008). The topology of the federal funds
market, Physica A: Statistical Mechanics and its Applications 389(22),
pp. 5223-5246.
Bastos e Santos, E. and R. Cont (2010). “The Brazilian interbank
network structure and systemic risk”, Banco Central do Brazil Working
Paper 219.
Bech, M.L. and K. Bonde (2009). The topology of Danish interbank money
flows, Banks and Bank Systems 4(4), pp. 48-65.
Becher, C., S. Millard and K. Soramäki (2008). “The network topology
of CHAPS Sterling”, Bank of England Working Paper 355.
Boss, M., H. Elsinger, M. Summer and S. Thurner (2004). “The network
topology of the interbank market”,
http://arxiv.org/abs/cond-mat/0309582.
Boss, M., G. Krenn, V. Metz, C. Puhr and S.W. Schmitz (2008).
“Systemically important accounts, network topology and contagion in
ARTIS”, OeNB Financial Stability Report 15.
Embree, L. and T. Roberts (2009). “Network analysis and Canada’s Large
Value Transfer System”, Bank of Canada Discussion Paper Series 13.
Furfine, C. (1999). C. Furfine (1999). The microstructure of the
federal funds market, Financial Markets, Institutions, and Instruments
8(5), pp. 24-44.
Heijmans, R., R. Heuver and D. Walraven (2010). “Monitoring the
unsecured interbank money market using TARGET2 data”, De Nederlandsche
Bank Working Paper 276.
Imakubo, K. and J.J. McAndrews (2006). “Funding Levels for the New
Accounts in the BOJ-NET”, Bank of Japan Working Paper 6-E-21.
Iori, G., G. de Masi, O.V. Precup, G. Gabbi and G. Caldarelli (2008).
The microstructure of the Italian overnight money market, Journal of
Economic Dynamics and Control
Lubloy, A. (2006). “Topology of the Hungarian large-value transfer
system”, Nemzeti Bank Occasional Paper 57.
Pröpper, M., I. van Lelyveld and R. Heijmans (2009). “Towards a
network description of interbank payment flows”, De Nederlandsche Bank
Working Paper 177.
Soramäki K., M. Bech, J. Arnold, R.J. Glass and W.E. Beyeler (2007).
The topology of interbank payment flows, Physica A: Statistical
Mechanics and its Applications 379(1), pp 317-333.
Wetherilt, A., K. Soramäki and P. Zimmerman (2009). “The sterling
unsecured loan market during 2006–2008: insights from network
topology”, in H. Leinonen (ed.), “Simulation analyses and stress
testing of payment networks”, Bank of Finland Scientific Monographs
E:42, pp. 277-314.
On Mon, Dec 12, 2011 at 6:47 AM, Semenov Alexander
<[log in to unmask]> wrote:
> ***** To join INSNA, visit http://www.insna.org ***** Hi, all.
>
> I was going to write my own request, but as it's quite relevant to this
> topic, I'll ask it here.
>
> I'm interested in in financial networks too, but not in
> inter-state|country|market or any other macroeconomics sense. I am curious
> about more microeconomics networks of financial flows: between and withing
> firms, etc.
>
> I skimmed through the bibliography
> here: http://www.financialnetworkanalysis.com/research-database/ but there
> are mostly macro-networks.
>
> Does anyone have suggestions?
>
> Thanks in advance.
> Alexander.
>
> 2011/12/11 John T. Maloney (jheuristic) <[log in to unmask]>
>>
>> *****  To join INSNA, visit http://www.insna.org  *****
>>
>> Hi -
>>
>> Any network research for financial markets needs to examine so-called
>> 'expert networks.' See:
>>
>> http://en.wikipedia.org/wiki/Expert_network
>>
>> "Hedge funds were early adopters, but the use of expert networks is now
>> widespread among all types of institutional investors, including mutual fund
>> advisers, pension funds, banks and private equity firms."
>>
>> http://on.wsj.com/vQLSYm
>>
>> In Oct 2011 expert network fan boy Raj Rajaratnam got 11 years in a
>> federal penitentiary.
>>
>>
>> -j
>>
>>
>>
>> -----Original Message-----
>> From: Social Networks Discussion Forum [mailto:<a
>> href="mailto:SOCNET@LIS_____________________________________________________________________
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--
-------------------------------
Kimmo Soramaki
Founder, www.fna.fi
Blog, www.fna.fi/blog
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+34-662-594-200

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