CEU Electronic Theses and Dissertations, 2017
| Author | Popper, Dávid |
|---|---|
| Title | Network Analysis of the Hungarian Interbank Market - A Multiplex Approach |
| Summary | Studying financial systems from a network perspective became an essential part of the economic literature after the financial crisis. This thesis analyzes the Hungarian interbank network on the basis of a recently emerged concept, namely the multiplex approach of the financial networks. This idea emphasizes that banks are connected through multiple channels, which should be considered when assessing systemic risk. Using a dataset of the Hungarian uncovered interbank transactions between 2003 and 2013 this thesis shows that the overnight and the longer-term maturity layers of this market have different characteristics in both cross-sectional and historical comparison. The analysis also reveals that the relative importance of the banks in the system is strongly varying across the layers, which should be taken into consideration in the SIFI assessment methodologies. |
| Supervisor | Briglevics, Tamás |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2017/popper_david.pdf |
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