Network structure and fragmentation of the Argentinean interbank markets

Autores
Elosegui, Pedro Luis; Forte, Federico; Montes Rojas, Gabriel Victorio
Año de publicación
2022
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market´s mixed structure entails one of the main sources of differentiation with respect to the CALL market.
Fil: Elosegui, Pedro Luis. Banco Central de la República Argentina; Argentina
Fil: Forte, Federico. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Departamento de Economía; Argentina. Banco BBVA Argentina; Argentina
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
Materia
NETWORK ANALYSIS
INTERBANK MARKET
FRAGMENTATION
CENTRAL BANK
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/204424
Acceder
id CONICETDig_3c42b86e8d67089a264e5cb039fa7270
oai_identifier_str oai:ri.conicet.gov.ar:11336/204424
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Network structure and fragmentation of the Argentinean interbank marketsElosegui, Pedro LuisForte, FedericoMontes Rojas, Gabriel VictorioNETWORK ANALYSISINTERBANK MARKETFRAGMENTATIONCENTRAL BANKhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market´s mixed structure entails one of the main sources of differentiation with respect to the CALL market.Fil: Elosegui, Pedro Luis. Banco Central de la República Argentina; ArgentinaFil: Forte, Federico. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Departamento de Economía; Argentina. Banco BBVA Argentina; ArgentinaFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; ArgentinaElsevier2022-09info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/204424Elosegui, Pedro Luis; Forte, Federico; Montes Rojas, Gabriel Victorio; Network structure and fragmentation of the Argentinean interbank markets; Elsevier; Latin American Journal of Central Banking; 3; 3; 9-2022; 1-172666-1438CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.latcb.2022.100066info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S2666143822000205info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T10:05:04Zoai:ri.conicet.gov.ar:11336/204424instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 10:05:05.101CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Network structure and fragmentation of the Argentinean interbank markets
title Network structure and fragmentation of the Argentinean interbank markets
spellingShingle Network structure and fragmentation of the Argentinean interbank markets
Elosegui, Pedro Luis
NETWORK ANALYSIS
INTERBANK MARKET
FRAGMENTATION
CENTRAL BANK
title_short Network structure and fragmentation of the Argentinean interbank markets
title_full Network structure and fragmentation of the Argentinean interbank markets
title_fullStr Network structure and fragmentation of the Argentinean interbank markets
title_full_unstemmed Network structure and fragmentation of the Argentinean interbank markets
title_sort Network structure and fragmentation of the Argentinean interbank markets
dc.creator.none.fl_str_mv Elosegui, Pedro Luis
Forte, Federico
Montes Rojas, Gabriel Victorio
author Elosegui, Pedro Luis
author_facet Elosegui, Pedro Luis
Forte, Federico
Montes Rojas, Gabriel Victorio
author_role author
author2 Forte, Federico
Montes Rojas, Gabriel Victorio
author2_role author
author
dc.subject.none.fl_str_mv NETWORK ANALYSIS
INTERBANK MARKET
FRAGMENTATION
CENTRAL BANK
topic NETWORK ANALYSIS
INTERBANK MARKET
FRAGMENTATION
CENTRAL BANK
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market´s mixed structure entails one of the main sources of differentiation with respect to the CALL market.
Fil: Elosegui, Pedro Luis. Banco Central de la República Argentina; Argentina
Fil: Forte, Federico. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Departamento de Economía; Argentina. Banco BBVA Argentina; Argentina
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
description This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market´s mixed structure entails one of the main sources of differentiation with respect to the CALL market.
publishDate 2022
dc.date.none.fl_str_mv 2022-09
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/204424
Elosegui, Pedro Luis; Forte, Federico; Montes Rojas, Gabriel Victorio; Network structure and fragmentation of the Argentinean interbank markets; Elsevier; Latin American Journal of Central Banking; 3; 3; 9-2022; 1-17
2666-1438
CONICET Digital
CONICET
url http://hdl.handle.net/11336/204424
identifier_str_mv Elosegui, Pedro Luis; Forte, Federico; Montes Rojas, Gabriel Victorio; Network structure and fragmentation of the Argentinean interbank markets; Elsevier; Latin American Journal of Central Banking; 3; 3; 9-2022; 1-17
2666-1438
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.latcb.2022.100066
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S2666143822000205
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1842269890462875648
score 13.13397

Publicaciones similares