Discovering the Core of the Russian Interbank Market

  • Marije Sluiskes University College Roosevelt

Abstract

This paper investigates to what extent the structure of the Russian interbank market over the period 1998-2004 can be described by applying the core-periphery model as defined by Craig and von Peter (2014), using a greedy algorithm. It finds that the fit is significant, although the error score of 54 percent is relatively high compared to earlier studies which applied this core-periphery model to more mature interbank markets. Additionally, this paper finds that the fit of the core-periphery model deteriorates as loan maturity increases. Finally, this paper concludes that a bank can also be classified as belonging to the core by
doing a probit regression on a single balance sheet variable.

How to Cite
SLUISKES, Marije. Discovering the Core of the Russian Interbank Market. Student Undergraduate Research E-journal!, [S.l.], v. 4, nov. 2018. ISSN 2468-0443. Available at: <https://journals.library.tudelft.nl/index.php/sure/article/view/2846>. Date accessed: 09 dec. 2018. doi: https://doi.org/10.25609/sure.v4.2846.
Published
2018-11-09