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

Interbank markets are often characterised in terms of a core-peripherynetwork structure, with a highly interconnected core of banks holding themarket together, and a periphery of banks connected mostly to the core but notinternally. This paradigm has recently been challenged for short time scales,where interbank markets seem better characterised by a bipartite structure withmore core-periphery connections than inside the core. Using a novelcore-periphery detection method on the eMID interbank market, we enrich thispicture by showing that the network is actually characterised by multiplecore-periphery pairs. Moreover, a transition from core-periphery to bipartitestructures occurs by shortening the temporal scale of data aggregation. Wefurther show how the global financial crisis transformed the market, in termsof composition, multiplicity and internal organisation of core-periphery pairs.By unveiling such a fine-grained organisation and transformation of theinterbank market, our method can find important applications in theunderstanding of how distress can propagate over financial networks.