Measures of Interbank Market Structure: An Application to Brazil

Authors

  • Eui Jung Chang Central Bank of Brazil
  • Eduardo José Araújo Lima Central Bank of Brazil
  • Solange M. Guerra Central Bank of Brazil
  • Benjamin M. Tabak Central Bank of Brazil

DOI:

https://doi.org/10.12660/bre.v28n22008.1510

Abstract

Many authors emphasize the importance of market structure in the definition of financial fragility; however, a study estimating the degree of completeness and heterogeneity of specific markets is still missing. In this paper, we address this issue. The paper contributes to the contagion literature by proposing measures of completeness and concentration degrees or heterogeneity amongst financial markets. Besides the essentially methodological contribution, we present some empirical results for the Brazilian interbank market.

Published

2008-11-01

Issue

Section

Articles