How are network centrality metrics related to interest rates in the Mexican secured and unsecured interbank markets?

17243 7 94274 2 274261 document 94274 1-s2.0-S157230892100053X-main.pdf application/pdf a7809bf41eab1b88ebaf55a3f0a402c9 MD5 4448146 2021-06-07 07:26:03 https://pure.iiasa.ac.at/id/eprint/17243/1/1-s2.0-S157230892100053X-main.pdf 17243 1 1 application/pdf text en public cc_by_nc_nd_4

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published 94286 2 274287 document 94286 lightbox.jpg image/png 4d157769be21800b6bc11d171e6e0b5b MD5 54182 2021-06-07 07:36:30 https://pure.iiasa.ac.at/id/eprint/17243/2/lightbox.jpg 17243 2 2 image/png other Thumbnails conversion from text to thumbnail_lightbox en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/94274 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/94274 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/94274 archive 353 disk0/00/01/72/43 2021-06-07 07:27:40 2021-08-27 17:34:49 2021-06-07 07:27:40 article show Tellez Leon E. 2172 Martínez-Jaramillo S. O. L. Escobar-Farfán L. Hochreiter R. How are network centrality metrics related to interest rates in the Mexican secured and unsecured interbank markets? pub ASA SYRR Financial networks; Financial econometrics; Regularization methods (ridge, lasso and elastic net); Interbank markets In financial stability, it is essential to know the determinants of interest rates in interbank markets because they are important vehicles for liquidity allocation among banks and are relevant for monetary policy transmission. Recent research indicates that banks with excess liquidity exercise their market power by rationing liquidity during periods of financial stress. This confirms the value of knowing the banks connections and identifying liquidity spreaders in such markets to manage contagion risk, liquidity hoarding and to preserve financial stability. In addition to well studied bank features such as size, liquidity and credit risk, we study which network metrics relate to interest rates during different periods. Using transaction level data on unsecured and secured lending, we apply an approach that employs network theory, econometric models and machine learning to analyze the structural properties of the secured and unsecured interbank markets in Mexico. Our findings support the “too-interconnected-to-fail” hypothesis. In the secured interbank market, PageRank shows a relationship with interest rates, while metrics associated with the notion of influence and systemic risk (Katz and DebtRank) are relevant in the unsecured interbank market. In general, a bank with high centrality lends at higher rates and gets funding at lower rates. 2021-08 published Elsevier 10.1016/j.jfs.2021.100893 2961 public Journal of Financial Stability 55 e100893 TRUE 1572-3089 FALSE no info:eu-repo/semantics/article