Template-Type: ReDIF-Article 1.0
Author-Name: Ádám Banai
Author-Name: András Kollarik
Author-Name: András Szabó-Solticzky
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: banaia@mnb.hu
Title: Topology of the foreign currency/forint swap market
Abstract: In our study, we examine the network structure of the currency swap market, the
volume of which amounts to several times the Hungarian GDP. With this paper, we
aim to establish a complete picture of the market by complementing the results for
the overnight market. Additionally, we can now analyse a longer time series than in
our 2013 study. We look at the properties of the graphs in segments representing
various maturities. We find that the properties of the graph derived from the overall
market and the dynamics of those properties are identical to those of the short-term
market, while trends differ for various tenors. The longer the maturities, the less
the graphs satisfy the small-world property. The longest markets are increasingly
closer to random graphs. Although the effect of shocks to large actors is smaller in
such graphs, this change also suggests that counterparties trusted each other less
as transactions became longer. This is also reinforced by the fact that following the
onset of the crisis, the number of connected vertices gradually decreased in the
networks of longer markets. In other words, weakening trust is also manifested in
the decreasing number of counterparties. This is confirmed by the development of
average degree and average path length, and by affinity functions.
Classification-JEL:G01, G15, C45
Keywords: financial networks, FX swap, financial crisis, topology, centrality indices
Journal: Financial and Economic Review  
Pages: 28–157
Volume: 14
Issue: 2
Year: 2015
File-URL: http://english.hitelintezetiszemle.hu/letoltes/fer-2015-2-en.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:14:y:2015:i:2:p:28-157