  We study the frictions in the patterns of trades in the Euro money market. We
characterize the structure of lending relations during the period of recent
financial turmoil. We use network-topology method on data from overnight
transactions in the Electronic Market for Interbank Deposits (e-Mid) to
investigate on two main issues. First, we characterize the division of roles
between borrowers and lenders in long-run relations by providing evidence on
network formation at a yearly frequency. Second, we identify the 'key players'
in the marketplace and study their behaviour. Key players are 'locally-central
banks' within a network that lend (or borrow) large volumes to (from) several
counterparties, while borrowing (or lending) small volumes from (to) a small
number of institutions. Our results are twofold. We show that the aggregate
trading patterns in e-Mid are characterized by largely asymmetric relations.
This implies a clear division of roles between lenders and borrowers. Second,
the key players do not exploit their position of network leaders by imposing
opportunistic pricing policies. We find that only a fraction of the networks
composed by big players are characterized by interest rates that are
statistically different from the average market rate throughout the turmoil
period.

Trading and Market Microstructure;Statistical Finance