Stylized facts in money markets: an empirical analysis of the eurozone data
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866916447890964480 |
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| author | Coz, Victor Le Allaire, Nolwenn Benzaquen, Michael Challet, Damien |
| author_facet | Coz, Victor Le Allaire, Nolwenn Benzaquen, Michael Challet, Damien |
| contents | Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in- and out-degree symmetry than what is reported for unsecured markets. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_16021 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stylized facts in money markets: an empirical analysis of the eurozone data Coz, Victor Le Allaire, Nolwenn Benzaquen, Michael Challet, Damien General Economics Economics Statistical Mechanics General Finance Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in- and out-degree symmetry than what is reported for unsecured markets. |
| title | Stylized facts in money markets: an empirical analysis of the eurozone data |
| topic | General Economics Economics Statistical Mechanics General Finance |
| url | https://arxiv.org/abs/2410.16021 |