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Interlinkages and structural changes in cross-border liabilities: a network approach

Alessandro Spelta and Tanya Vianna de Araújo ()

No 2012/19, Working Papers Department of Economics from ISEG - School of Economics and Management, Department of Economics, University of Lisbon

Abstract: We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank international market is contained in a space of small dimension, from which a topological characterization could be conveniently carried out. Weighted and complete networks of financial linkages across countries are developed, for which continuous clustering, degree centrality and closeness centrality are computed. The behavior of these topological coecients reveals an important modi cation acting in the financial linkages in the period 1997-2011. Here we show that, besides the generalized clustering increase, there is a persistent increment in the degree of connectivity and in the closeness centrality of some countries. These countries seem to correspond to critical locations where tax policies might provide opportunities to shift debts. Such critical locations highlight the role that speci c countries play in the network structure and helps to situates the turbulent period that has been characterizing the global nancial system since the Summer 2007 as the counterpart of a larger structural change going on for a more than one decade.

Keywords: Cross-border exposures; interbank networks; financial linkages; debt shifting (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-cse
Date: 2012-07
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More papers in Working Papers Department of Economics from ISEG - School of Economics and Management, Department of Economics, University of Lisbon
Address: Department of Economics, ISEG - School of Economics and Management, University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL
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