Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297307 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2867
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We compare networks constructed using five commonly used methods and publicly available daily market data to networks based on reported exposures along several dimensions of the balance sheet, i.e., loans, bonds, equity. Our findings suggest that while the global network structure remains stable, individual exposures are more dynamic. The main message from the regression analysis is that the market-based networks do their job relatively well, however, various market-based networks capture different types of exposures. All the measures reflect common portfolios of bonds and loans. Equity-based measures match better direct and indirect equity, while credit-risk measures capture direct bonds. None of the measures robustly identify direct interbank lending.
Subjects: 
banking regulation
financial networks
interconnections
market-based networks
true-exposure networks
JEL: 
G20
L14
D85
C63
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6244-5
Document Type: 
Working Paper

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