Turning Points in the Core–Periphery Displacement of Systemic Risk in the Eurozone: Constrained Weighted Compositional Clustering

Anna Maria Fiori () and Germà Coenders ()
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Anna Maria Fiori: Department of Statistics and Quantitative Methods, University of Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy
Germà Coenders: Department of Economics, Faculty of Economics and Management, University of Girona, C/Universitat 10, 17003 Girona, Spain

Risks, 2025, vol. 13, issue 2, 1-23

Abstract: Investigating how systemic risk originates and spreads across the financial system poses an inherently compositional question, i.e., a question concerning the joint distribution of relative risk share across several interdependent contributors. To address this question, we propose a weighted compositional clustering approach aimed at tackling the trajectories and turning points of systemic risk in the Eurozone, from both a chronological and a geographical perspective. The cluster profiles emerging from our analysis indicate a progressive shift from Northern Europe towards the Euro-Mediterranean region in the coordinate center of systemic risk compositions. This shift matures as the outcome of complex interactions between core and peripheral EU countries that compositional methods have the merit of capturing and unifying in a self-contained multivariate framework.

Keywords: Compositional Data (CoDa); adjacency-constrained hierarchical clustering; CONISS algorithm; Systemic Risk Index (SRISK); weighted centered log-ratios (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2025
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