Person

Valentyn Panchenko

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Working paper

30 Apr 2016

We introduce an endogenous network model of the interbank overnight lending market. Banks are motivated to meet the minimum reserve requirements set by the Central Bank, but their reserves are subject to random shocks. To adjust their expected end-of-the-day reserves, banks enter the interbank market,...

Working paper

31 Jan 2015

This paper connects variance-covariance estimation methods, Gaussian graphical models, and the growing literature on economic and nancial networks. We construct the network using the concept of partial correlations which captures direct linear dependence between any two entities, conditional on dependence between all other entities. We...

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2

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