Article ID: | iaor20133871 |
Volume: | 10 |
Issue: | 2 |
Start Page Number: | 187 |
End Page Number: | 211 |
Publication Date: | Jun 2013 |
Journal: | Computational Management Science |
Authors: | Lux Thomas, Finger Karl, Fricke Daniel |
Keywords: | networks |
In this paper, we analyze the network properties of the Italian e‐MID data based on overnight loans during the period 1999–2010. We show that the networks appear to be random at the daily level, but contain significant non‐random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying ‘latent’ network. Rather, the development of various network statistics under time aggregation points toward strong non‐random determinants of link formation. We also identify the global financial crisis as a significant structural break for many network measures.