论文标题
阿根廷银行间市场的网络结构和破碎
Network structure and fragmentation of the Argentinean interbank markets
论文作者
论文摘要
本文研究了阿根廷银行间市场的网络结构和分裂。使用复杂的网络分析，检查了无抵押（呼叫）和有担保的（回购）市场。结果表明，尽管有担保市场的参与者较少，但其节点比无抵押市场更密集。无抵押市场中的相互关系较不稳定，使其结构更加动荡，容易受到负面冲击的影响。该分析确定了回购市场中的两个“隐藏”基础网络：一个基于财政债券（repo-t）抵押的交易，另一个基于中央银行（CB）证券（CB）证券（Repo-CB）抵押的运营。货币政策立场和货币条件的变化似乎对前者的影响要小于后者的“亚市场”。回购市场及其结构内的连通性水平仍然相对不受市场另一段（在某个时期）的波动的影响。因此，根据交易中涉及的附带资产的类型，回购市场显示出内部结构的破碎迹象，因此平均回购利率反映了这两个部分分散的子市场之间的相互作用。回购市场的这种混合结构是与呼叫市场有关的主要分化来源之一。
This paper studies the network structure and fragmentation of the Argentinean interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined, applying complex network analysis. Results indicate that, although the secured market has less participants, its nodes are more densely connected than 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 sub-networks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and 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 impact in the former than in the latter 'sub-market'. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (in some period pronounced) swings in the other segment of the market. 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 sub-markets. This mixed structure of the REPO market entails one of the main sources of differentiation with respect to the CALL market.
