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SUMMARY:A Network View on Interbank Liquidity - Georg\, C-P (University of
  Cape Town)
DTSTART:20140829T100000Z
DTEND:20140829T103000Z
UID:TALK53943@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Joint with S. Gabrieli\n\nWe use a novel dataset on all interb
 ank money market transactions settled via the Eurosystem's payment system 
 TARGET2 to study the liquidity allocation among European banks around the 
 Lehman insolvency. We show that a freeze occured only in the term segment 
 of the market. Using global and local network measures we characterize thi
 s freeze as a network shrinking process. We show that a bank's network pos
 ition within the market has a significant impact on its lending and borrow
 ing activity post-Lehman. Taking the network structure into account is the
 refore essential in understanding the reaction of the money market to adve
 rse shocks.\n
LOCATION:Seminar Room 1\, Newton Institute
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