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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
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Working Paper: Input-Output-based Measures of Systemic Importance (2013) Downloads
Working Paper: Input-output-based measures of systemic importance (2013) Downloads
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