March 2021

Liquidity Networks, Interconnectedness, and Interbank Records Asymmetry

Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad

Abstract:

Community analysis has demonstrated that interconnectedness amongst market contributors ends up in spillovers, amplifies or absorbs shocks, and creates totally different nonlinear results that in the damage like an affect on market health. In this paper, we recommend a recent directed community construct, the liquidity community, to rep the urgency to interchange by connecting the initiating birthday celebration in a replace to the passive birthday celebration. Alongside the ragged trading community connecting sellers to investors, we indicate both community forms complement each totally different: Liquidity networks indicate succesful info, namely when info asymmetry available in the market is excessive, and provide a more complete characterization of interconnectivity in the overnight-lending market.

DOI: https://doi.org/10.17016/FEDS.2021.017

PDF:
Burly Paper

Support to High

Closing Change:
March 19, 2021

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