| By: |
Tarik Roukny, Co-Pierre Georg and Stefano Battiston |
| Abstract: |
In this paper, we report a descriptive investigation of the structural
evolution of two of the most important over-the-counter markets for liquidity
in Germany: the interbank market for credit and for derivatives. We use
end-of-quarter data from the German large credit register between 2002 and
2012 and characterize the underlying networks. Surprisingly, the data show
little or no impact of the 2008 crisis on the structure of credit market. The
derivative market however exhibits a peak of concentration in the run up to
the crisis. Globally, both markets exhibit high stability for most of the
networks metrics and high correlation amongst them. |
| Keywords: |
financial networks, interbank market, credit default swaps, liquidity |
| JEL: |
G2 G21 D85 |
| Date: |
2014 |
| URL: |
http://d.repec.org/n?u=RePEc:rza:wpaper:461&r=fmk |