Network effects in interbank markets of Call and Repo in Argentina

The effect of network centrality on interest rate spreads in Argentine interbank markets is studied, both in the unsecured (Call) and in the guaranteed (Repo) markets where the BCRA operates. Markets differ in terms of collateral and microstructure. Measures of local and global centrality are used as explanatory variables in a regression on panel data with pairwise fixed effects. The local centrality measures are significant only in the Repo market, the global ones in both markets, although with different effects. The impact of centrality measures on liquidity reveals their importance for monitoring systemic risk.