Research Discussion Paper – RDP 2018-01 A Density-based Estimator of Core/Periphery Network Structures: Analysing the Australian Interbank Market

Contents

• Introduction
• The Interbank Overnight Cash Market
• The Network Structure of the IBOC Market
• Existing Core/Periphery Estimators
• The Density-based Estimator
• Numerical Analysis of Core/Periphery Estimators
• The Core/Periphery Structure of the IBOC Market
• Conclusion
• Appendix A: The Maximum Likelihood Estimator
• Appendix B: Estimator Accuracy
• Appendix C: The Two-step Cucuringu et al (2016) Estimator
• Appendix D: Process for Constructing Simulation Draws
• Appendix E: Results with Higher-frequency Networks
• Appendix F: Evidence of Intermediation
• References

We thank Chris Becker, Matt Boge, Adam Gorajek, David Olivan, Valentyn Panchenko, John Simon, and participants of seminars at the BIS, ECB, Kiel University, RBA, RBNZ, University of NSW, and University of Padova for advice and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. The authors are solely responsible for any errors.