Beyond the power law: Uncovering stylized facts in interbank networks

• Interbank measures are heavy-tailed.
• Evidence for power-law behavior in tail is not strong.
• Lognormal and stretched exponentials can fit the entire distributions of the interbank network measures.
• Robust for time-aggregation and distinctive phases.

We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over August 1998–October 2004. Specifically, we examine the distributions of (un)directed (un)weighted degree, nodal attributes (bank assets, capital and capital-to-assets ratio) and edge weights (loan size and counterparty exposure). We search for the theoretical distribution that fits the data best and report the “best” fit parameters.We observe that all studied distributions are heavy tailed. The fat tail typically contains 20% of the data and can be mostly described well by a truncated power law. Also the power law, stretched exponential and log-normal provide reasonably good fits to the tails of the data. In most cases, however, separating the bulk and tail parts of the data is hard, so we proceed to study the full range of the events. We find that the stretched exponential and the log-normal distributions fit the full range of the data best. These conclusions are robust to (1) whether we aggregate the data over a week, month, quarter or year; (2) whether we look at the “growth” versus “maturity” phases of interbank market development; and (3) with minor exceptions, whether we look at the “normal” versus “crisis” operation periods. In line with prior research, we find that the network topology changes greatly as the interbank market moves from a “normal” to a “crisis” operation period.