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An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk

Martínez-Jaramillo Serafín, Alexandrova-Kabadjova Biliana, Bravo-Benítez Bernardo and Solórzano-Margain Juan Pablo

No 2012-07, Working Papers from Banco de México

Abstract: With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size.

JEL-codes: C01 C02 C44 C63 G21 (search for similar items in EconPapers)
Date: 2012-08
New Economics Papers: this item is included in nep-ban, nep-net and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2012-07

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