The topology of cross-border exposures: beyond the minimal spanning tree approach

Alessandro Spelta and Tanya Araújo

No 2012/11, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where crossborder financial linkages play the fundamental role. It has also been emphasized that the relevance of these networks relies on the representation of changes follow on the occurrence of stress events. Here, from series of interbank liabilities and claims over different time periods, we have developed networks of positions (net claims) between countries. Besides the Minimal Spanning Tree analysis of the time-constrained networks, a coefficient of residuality is defined to capture the structural evolution of the network of cross-border financial linkages. Because some structural changes seem to be related to the role that countries play in the financial context, networks of debtor and creditor countries are also developed. Empirical results allows to relate the network structure that emerges in the last years to the globally turbulent period that has characterized financial systems since the latest nineties. The residuality coefficient highlights an important modification acting in the financial linkages across countries in the period 1997-2011, and situates the recent financial crises as replica of a larger structural change going on since 1997.

Keywords: Cross-border exposures; interbank networks; financial linkages; minimal spanning tree; financial crises (search for similar items in EconPapers)
Date: 2012-03
New Economics Papers: this item is included in nep-hme
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Citations: View citations in EconPapers (13)

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Journal Article: The topology of cross-border exposures: Beyond the minimal spanning tree approach (2012)
Working Paper: The topology of cross-border exposures: beyond the minimal spanning tree approach (2012)
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