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摘要翻译：
我们研究了欧元货币市场交易模式中的摩擦。我们描述了最近金融风暴期间借贷关系的结构。本文利用网络拓扑方法，对银行间存款电子市场（e-Mid）隔夜交易数据进行了研究。首先，我们通过提供每年频率的网络形成的证据来描述长期关系中借款人和贷款者之间的角色分工。其次，我们确定市场中的“关键参与者”，并研究他们的行为。主要参与者是网络中的“地方中央银行”，它们向几个交易对手大量借贷，同时向少数机构少量借贷。我们的结果是双重的。我们发现e-Mid的总交易模式在很大程度上表现为非对称关系。这意味着贷款人和借款人之间有明确的角色分工。第二，主要参与者不会通过实施机会主义定价政策来利用其网络领导者的地位。我们发现，只有一小部分由大玩家组成的网络的特点是利率在统计上不同于整个动荡时期的平均市场利率。
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英文标题：
《Structural distortions in the Euro interbank market: The role of 'key
players' during the recent market turmoil》
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作者：
Caterina Liberati, Massimiliano Marzo, Paolo Zagaglia, Paola Zappa
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two main issues. First, we characterize the division of roles between borrowers and lenders in long-run relations by providing evidence on network formation at a yearly frequency. Second, we identify the 'key players' in the marketplace and study their behaviour. Key players are 'locally-central banks' within a network that lend (or borrow) large volumes to (from) several counterparties, while borrowing (or lending) small volumes from (to) a small number of institutions. Our results are twofold. We show that the aggregate trading patterns in e-Mid are characterized by largely asymmetric relations. This implies a clear division of roles between lenders and borrowers. Second, the key players do not exploit their position of network leaders by imposing opportunistic pricing policies. We find that only a fraction of the networks composed by big players are characterized by interest rates that are statistically different from the average market rate throughout the turmoil period.
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PDF链接：
https://arxiv.org/pdf/1207.5269
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