Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/4158
Título: The topology of cross-border exposures : beyond the minimal spanning tree approach
Autor: Spelta, Alessandro
Araújo, Tanya
Palavras-chave: Cross-border exposures
Interbank networks
Financial linkages
Minimal spanning tree
Financial crises
Data: 2012
Editora: ISEG - Departamento de Economia
Citação: Spelta, Alessandro and Tanya Araujo. 2012. "The topology of cross-border exposures : beyond the minimal spanning tree approach". Instituto Superior de Economia e Gestão - DE working papers nº11-2012/DE/UECE
Relatório da Série N.º: DE working papers;11/2012/DE/UECE
Resumo: The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where crossborder financial linkages play the fundamental role. It has also been emphasized that the relevance of these networks relies on the representation of changes follow on the occurrence of stress events. Here, from series of interbank liabilities and claims over different time periods, we have developed networks of positions (net claims) between countries. Besides the Minimal Spanning Tree analysis of the time-constrained networks, a coefficient of residuality is defined to capture the structural evolution of the network of cross-border financial linkages. Because some structural changes seem to be related to the role that countries play in the financial context, networks of debtor and creditor countries are also developed. Empirical results allows to relate the network structure that emerges in the last years to the globally turbulent period that has characterized financial systems since the latest nineties. The residuality coefficient highlights an important modification acting in the financial linkages across countries in the period 1997-2011, and situates the recent financial crises as replica of a larger structural change going on since 1997.
URI: http://hdl.handle.net/10400.5/4158
ISSN: 0874-4548
Versão do Editor: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=251484&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2012&_request_checksum_=c4ba1b1726671937b89919b9366aac1e208087ad
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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