Loan and nonloan flows in the Australian interbank network

High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions entered directly into RITS. In this paper, we analyse a dataset received from the Reserve Bank of Australia that includes all interbank transactions settled in RITS on an RTGS basis during five consecutive weekdays from 19 February 2007 inclusive, a week of relatively quiescent market conditions. The source, destination, and value of each transaction are known, which allows us to separate overnight loans from other transactions (nonloans) and reconstruct monetary flows between banks for every day in our sample. We conduct a novel analysis of the flow stability and examine the connection between loan and nonloan flows. Our aim is to understand the underlying causal mechanism connecting loan and nonloan flows. We find that the imbalances in the banks' exchange settlement funds resulting from the daily flows of nonloan transactions are almost exactly counterbalanced by the flows of overnight loans. The correlation coefficient between loan and nonloan imbalances is about -0.9 on most days. Some flows that persist over two consecutive days can be highly variable, but overall the flows are moderately stable in value. The nonloan network is characterised by a large fraction of persistent flows, whereas only half of the flows persist over any two consecutive days in the loan network. Moreover, we observe an unusual degree of coherence between persistent loan flow values on Tuesday and Wednesday. We probe static topological properties of the Australian interbank network and find them consistent with those observed in other countries

Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks

We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over Aug 1998 - Oct 2004. Specifically, we examine the distributions of (un)directed (un)weighted degree, nodal attributes (bank assets, capital and capital-to-assets ratio) and edge weights (loan size and counterparty exposure). We search for the theoretical distribution that fits the data best and report the "best" fit parameters. We observe that all studied distributions are heavy tailed. The fat tail typically contains 20% of the data and can be mostly described well by a truncated power law. Also the power law, stretched exponential and log-normal provide reasonably good fits to the tails of the data. In most cases, however, separating the bulk and tail parts of the data is hard, so we proceed to study the full range of the events. We find that the stretched exponential and the log-normal distributions fit the full range of the data best. These conclusions are robust to 1) whether we aggregate the data over a week, month, quarter or year; 2) whether we look at the "growth" versus "maturity" phases of interbank market development; and 3) with minor exceptions, whether we look at the "normal" versus "crisis" operation periods. In line with prior research, we find that the network topology changes greatly as the interbank market moves from a "normal" to a "crisis" operation period.Comment: 17 pages, 9 figure

The Transaction Network in Japanfs Interbank Money Markets

Interbank payment and settlement flows have changed substantially in the last decade. This paper applies social network analysis to settlement data from the Bank of Japan Financial Network System (BOJ-NET) to examine the structure of transactions in the interbank money market. We find that interbank payment flows have changed from a star-shaped network with money brokers mediating at the hub to a decentralized network with numerous other channels. We note that this decentralized network includes a core network composed of several financial subsectors, in which these core nodes serve as hubs for nodes in the peripheral sub-networks. This structure connects all nodes in the network within two to three steps of links. The network has a variegated structure, with some clusters of institutions on the periphery, and some institutions having strong links with the core and others having weak links. The structure of the network is a critical determinant of systemic risk, because the mechanism in which liquidity shocks are propagated to the entire interbank market, or likewise absorbed in the process of propagation, depends greatly on network topology. Shock simulation examines the propagation process using the settlement data.Interbank market; Real-time gross settlement; Network; Small world; Core and periphery; Systemic risk

Formation of two-dimensional weak localization in conducting Langmuir-Blodgett films

We report the magnetotransport properties up to 7 T in the organic highly conducting Langmuir-Blodgett(LB) films formed by a molecular association of the electroactive donor molecule bis(ethylendioxy)tetrathiafulvalene (BEDO-TTF) and stearic acid CH$_3$(CH$_2$)$_{16}$COOH. We show the logarithmic decrease of dc conductivity and the negative transverse magnetoresistance at low temperature. They are interpreted in the weak localization of two-dimensional (2D) electronic system based on the homogeneous conducting layer with the molecular size thickness of BEDO-TTF. The electronic length with phase memory is given at the mesoscopic scale, which provides for the first time evidence of the 2D coherent charge transport in the conducting LB films.Comment: 5 pages, 1 Table and 5 figure

The Microstructure of Japanfs Interbank Money Market: Simulating Contagion of Intraday Flow of Funds Using BOJ-NET Payment Data

Under a real-time gross settlement (RTGS) system, there is an incentive for system participants to delay making their outgoing payments to facilitate their funding, and this creates the risk of settlement delays spreading throughout the entire system. Intraday credit facility and market practices have been established to avoid the risk and led to settlement concentration in the morning, as well as concentrations at the specific times due to other deferred net settlement (DNS) systems. The heterogeneity of intraday progress of settlements causes intraday fluctuation in interest rates. In this paper, we analyze and run simulations on the payment network to understand the intraday flow of funds within Japanfs interbank money market, especially recycling of the "receipt-driven payments." We find that (1) the shape of the payment network changes with the time of day, and payment recycling becomes more likely when the density of the network is high; (2) patterns of intraday payment flow differ across the three RTGS systems of the United States, the United Kingdom, and Japan, reflecting differences in each countryfs system for, and underlying approach to, settlement and funding; and (3) participants comprising the hub of the payment network function as absorbers of contagion under a condition sufficiently stressful to cause a cascade of settlement delays.Real-time gross settlement; Payment recycling; BOJ-NET

Metal-insulator transition and charge ordering in the extended Hubbard model at one-quarter filling

We study with exact diagonalization the zero temperature properties of the quarter-filled extended Hubbard model on a square lattice. We find that increasing the ratio of the intersite Coulomb repulsion, $V$, to the band width drives the system from a metal to a charge ordered insulator. The evolution of the optical conductivity spectrum with increasing $V$ is compared to the observed optical conductivity of several layered molecular crystals with the theta and beta'' crystal structures.Comment: 5 pages, 3 figure

Superconductivity mediated by charge fluctuations in layered molecular crystals

We consider the competition between superconducting, charge ordered, and metallic phases in layered molecular crystals with the theta and beta" structures. Applying slave-boson theory to the relevant extended Hubbard model, we show that the superconductivity is mediated by charge fluctuations and the Cooper pairs have d(xy) symmetry. This is in contrast to the kappa-(BEDT-TTF)(2)X family, for which theoretical calculations give superconductivity mediated by spin fluctuations and with d(x)2(-y)2 symmetry. We predict several materials that should become superconducting under pressure

Overnight interbank markets and the determination of the interbank rate: a selective survey

Overnight interbank markets provide critical facilities for the banking system to manage, pool and redistribute its cash reserves. We provide a selective survey of the literature on overnight interbank markets. We outline the typical structure of overnight markets, including the networking relationships involved, as an indispensable prerequisite for a clear understanding of the workings of these markets. We review the theoretical and empirical studies on the determination of the overnight rate, and in that context discuss the implications of the 2007–08 financial crisis. We summarise key issues for further research

Structure and Temporal Change of Credit Network between Banks and Large Firms in Japan

Credit relationships between commercial banks and quoted firms are studied for the structure and its temporal change from the year 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in the supply of credit affects firms as debtor, and failure of a firm influences banks as creditor. To quantify the dependency and influence between banks and firms, we propose to define a set of scores of banks and firms, which can be calculated by solving an eigenvalue problem determined the weight of the credit network. We found that a few largest eigenvalues and corresponding eigenvectors are significant by using a null hypothesis of random bipartite graphs, and that the scores can quantitatively describe the stability or fragility of the credit network during the 25 years