Mapping the UK Interbank System

39 Pages Posted: 29 Nov 2014

See all articles by Sam Langfield

Sam Langfield

European Central Bank

Zijun Liu

Bank of England

Tomohiro Ota

Bank of England

Date Written: November 28, 2014

Abstract

We present new evidence on the structure of interbank connections in key markets: derivatives, marketable securities, repo, unsecured lending and secured lending. Taken together, these markets comprise two networks: a network of interbank exposures and a network of interbank funding. Network structure varies across and within these two networks, for reasons related to markets’ different economic functions. Credit risk and liquidity risk therefore propagate in the interbank system through different network structures, with implications for financial stability.

Keywords: Interbank markets, core-periphery, intermediation, financial networks, market microstructure

JEL Classification: D85, G21, L14

Suggested Citation

Langfield, Sam and Liu, Zijun and Ota, Tomohiro, Mapping the UK Interbank System (November 28, 2014). Bank of England Working Paper No. 516, Available at SSRN: https://ssrn.com/abstract=2531679 or http://dx.doi.org/10.2139/ssrn.2531679

Sam Langfield

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Zijun Liu

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Tomohiro Ota (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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