Financial markets are ultimately seen as a collection of dyadic transactions. We study the temporal evolution of dyadic relationships in the European interbank market, as induced by monetary transactions registered in the electronic market for interbank deposits (e‐MID) during a period of 10 years (2006–2015). In particular, we keep track of how reciprocal exchange patterns have varied with macro events and exogenous shocks and with the emergence of the Global Financial Crisis in 2008. The approach adopted extends the model of Holland and Leinhardt to a longitudinal setting where individuals’ temporal trajectories for the tendency to connect and reciprocate transactions are explicitly modelled through splines or polynomials, and individual‐specific parameters. We estimate the model by an iterative algorithm that maximizes the log‐likelihood for every ordered pair of units. The empirical application shows that the methodology proposed may be applied to large networks and represents the process of exchange at a fine‐grained level. Further results are available in on‐line supplementary material.

中文翻译：

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使用潜在轨迹的二元关系纵向网络：来自欧洲银行间市场的证据

金融市场最终被视为二元交易的集合。我们研究了欧洲银行间市场中二元关系的时间演变，这种变化是由十年间（2006-2015年）在电子市场上针对银行间存款（e-MID）在电子市场中注册的货币交易引起的。尤其是，我们跟踪双向交换模式如何随着宏观事件和外来冲击以及2008年全球金融危机的出现而发生变化。所采用的方法将Holland和Leinhardt的模型扩展到纵向环境，在此环境中个人的时间轨迹通过样条或多项式以及特定于个人的参数显式地建模了连接和往复交易的趋势。我们通过迭代算法估算模型，该算法最大化每个有序对单元的对数似然性。实证应用表明，所提出的方法可能适用于大型网络，并且代表了细粒度的交换过程。在线补充材料中提供了更多结果。