Tayebeh Zanganeh; Mohammad Ali Rastegar; Kazem Chavoshi; Mir feyz Fallahshams
Abstract
Entering into the interbank market in order to balance profitability and liquidity risk management, depending on the conditions of short-term activities, banks are required to equip resources through this market or to lend short-term loans to other banks. Banks' commitments to each other mainly arise ...
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Entering into the interbank market in order to balance profitability and liquidity risk management, depending on the conditions of short-term activities, banks are required to equip resources through this market or to lend short-term loans to other banks. Banks' commitments to each other mainly arise in the interbank market, which can lead to increased systemic risk due to the spillover effect. Therefore, the objective of this paper is to analyze the network dynamic stability of the Iranian overnight money market through methods of statistical mechanics applied to complex networks .The results show that the network structure changes during time depending economic conditions. Systemic risk measures such as clustering coefficient, average short path, heterogeneity and centrality, show that the networks systemic risk increases and then by occurring default and crisis in one bank, default spillover during the domino effect in whole network. Also, in the event of failure, the most vulnerable group is to privatized and specialist governmental banks, and the private banks, due to the high volume of exchanges and net negative flows, can put a considerable systemic risk to the interbank market network. Morever, the signals of speculative activity by private banks are found.
