Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis

Interbank markets are often characterized in terms of a core–periphery network structure, with a highly interconnected core of banks holding the market together and a periphery of banks connected mostly to the core but not internally. This paradigm has recently been challenged for short time scales, where interbank markets seem better characterized by a bipartite structure with more core–periphery connections than inside the core. Using a novel core–periphery detection method on the electronic market for interbank deposits (eMID), we enrich this picture by showing that the network is actually characterized by multiple core–periphery pairs. Moreover, a transition from core–periphery to bipartite structures occurs by shortening the temporal scale of data aggregation. Further, we show how the global financial crisis transformed the market in terms of composition, multiplicity and internal organization of core– periphery pairs. By unveiling such a fine-grained organization and transformation of the interbank market, our method can find important applications in the understanding of how distress can propagate over financial networks.