Input-output-based measures of systemic importance

Iñaki Aldasoro and Ignazio Angeloni ()

Quantitative Finance, 2015, vol. 15, issue 4, 589-606

Abstract: The analyses of intersectoral linkages of Leontief [ The Structure of the American Economy: 1919-1929 , 1941] and Hirschman [ The Strategy of Economic Development , 1958] provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper, we show how elements from classic input-output analysis can be applied to banking and how to derive six indicators that capture different aspects of systemic importance, using a simple numerical example for illustration. We also discuss the relationship with other approaches, most notably network centrality measures, both formally and by means of a simulated network.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2014.968194 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Input-Output-based Measures of Systemic Importance (2013)
Working Paper: Input-output-based measures of systemic importance (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2014.968194

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().