英文标题：
《Loan maturity aggregation in interbank lending networks obscures
mesoscale structure and economic functions》
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作者：
Marnix Van Soom, Milan van den Heuvel, Jan Ryckebusch, Koen Schoors
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最新提交年份：
2019
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英文摘要：
Since the 2007-2009 financial crisis, substantial academic effort has been dedicated to improving our understanding of interbank lending networks (ILNs). Because of data limitations or by choice, the literature largely lacks multiple loan maturities. We employ a complete interbank loan contract dataset to investigate whether maturity details are informative of the network structure. Applying the layered stochastic block model of Peixoto (2015) and other tools from network science on a time series of bilateral loans with multiple maturity layers in the Russian ILN, we find that collapsing all such layers consistently obscures mesoscale structure. The optimal maturity granularity lies between completely collapsing and completely separating the maturity layers and depends on the development phase of the interbank market, with a more developed market requiring more layers for optimal description. Closer inspection of the inferred maturity bins associated with the optimal maturity granularity reveals specific economic functions, from liquidity intermediation to financing. Collapsing a network with multiple underlying maturity layers or extracting one such layer, common in economic research, is therefore not only an incomplete representation of the ILN\'s mesoscale structure, but also conceals existing economic functions. This holds important insights and opportunities for theoretical and empirical studies on interbank market functioning, contagion, stability, and on the desirable level of regulatory data disclosure.
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中文摘要：
自2007-2009年金融危机以来，学术界一直致力于提高我们对银行间借贷网络（ILN）的理解。由于数据限制或出于选择，文献中基本上缺乏多个贷款期限。我们使用一个完整的银行间贷款合同数据集来研究到期日详细信息是否能提供网络结构的信息。将Peixoto（2015）的分层随机块体模型和网络科学的其他工具应用于俄罗斯ILN中具有多个到期层的双边贷款时间序列，我们发现，所有这些层的坍塌始终会掩盖中尺度结构。最佳到期粒度介于完全崩溃和完全分离到期层之间，取决于银行间市场的发展阶段，更发达的市场需要更多的层来进行最佳描述。仔细检查与最佳到期粒度相关的推断到期仓位，可以发现从流动性中介到融资的特定经济功能。因此，在经济研究中，瓦解具有多个潜在成熟度层的网络或提取其中一个成熟度层，不仅是ILN中尺度结构的不完整表示，而且还隐藏了现有的经济功能。这为银行间市场运作、传染、稳定性以及监管数据披露的理想水平的理论和实证研究提供了重要的见解和机会。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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