A Network Analysis of Sectoral Accounts: Identifying Sectoral Interlinkages in G-4 Economies

Luiza Antoun de Almeida

No 2015/111, IMF Working Papers from International Monetary Fund

Abstract: The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using sectoral accounts data in combination with data from the Coordinated Portfolio Investment Survey, International Investment Position, and BIS this paper estimates bilateral exposures between financial and non-financial sectors in three different financial instruments within and across G-4 economies (Euro Area, Japan, U.K. and U.S.). The generated financial networks represent a powerful tool for assessing financial stability, as they allow for the identification of systemically important sectors. The analysis suggests that after the financial crisis bilateral exposures in debt securities have increased, while exposures in loans and equities have declined. Shock simulations reveal that the vulnerability of the financial sector to the government sector has increased considerably since the outbreak of the financial crisis.

Keywords: WP; monetary financial institution; financial institution; exposure; Balance sheet exposures; cross-border exposures; Data Gaps Initiative (DGI); financial networks; financial stability; sectoral accounts; MFI sector; financial instrument exposure; loan exposure; euro area MFI; exposures vis-à-vis; U.K. MFI sector; vis-à-vis GOV; U.K. OFI; equity exposure; financial crisis exposure; sectors vis-à-vis; Euro Area MFI; Securities; Cross-border effects; Stocks; Loans; Global (search for similar items in EconPapers)
Pages: 41
Date: 2015-05-19
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Citations: View citations in EconPapers (7)

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