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

Detalhes bibliográficos
Autor(a) principal: Spelta, Alessandro
Data de Publicação: 2012
Outros Autores: Araújo, Tanya
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/4158
Resumo: 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.
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spelling The topology of cross-border exposures : beyond the minimal spanning tree approachCross-Border ExposuresInterbank NetworksFinancial LinkagesMinimal Spanning TreeFinancial CrisesThe 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.UECE is supported by FCCN.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaSpelta, AlessandroAraújo, Tanya2012-03-22T16:30:51Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/4158engSpelta, Alessandro and Tanya Araujo. 2012. "The topology of cross-border exposures : beyond the minimal spanning tree approach". Instituto Superior de Economia e Gestão - DE Working papers nº 11-2012/DE/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:35:10Zoai:www.repository.utl.pt:10400.5/4158Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:51:52.503315Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The topology of cross-border exposures : beyond the minimal spanning tree approach
title The topology of cross-border exposures : beyond the minimal spanning tree approach
spellingShingle The topology of cross-border exposures : beyond the minimal spanning tree approach
Spelta, Alessandro
Cross-Border Exposures
Interbank Networks
Financial Linkages
Minimal Spanning Tree
Financial Crises
title_short The topology of cross-border exposures : beyond the minimal spanning tree approach
title_full The topology of cross-border exposures : beyond the minimal spanning tree approach
title_fullStr The topology of cross-border exposures : beyond the minimal spanning tree approach
title_full_unstemmed The topology of cross-border exposures : beyond the minimal spanning tree approach
title_sort The topology of cross-border exposures : beyond the minimal spanning tree approach
author Spelta, Alessandro
author_facet Spelta, Alessandro
Araújo, Tanya
author_role author
author2 Araújo, Tanya
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Spelta, Alessandro
Araújo, Tanya
dc.subject.por.fl_str_mv Cross-Border Exposures
Interbank Networks
Financial Linkages
Minimal Spanning Tree
Financial Crises
topic Cross-Border Exposures
Interbank Networks
Financial Linkages
Minimal Spanning Tree
Financial Crises
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2012-03-22T16:30:51Z
2012
2012-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/4158
url http://hdl.handle.net/10400.5/4158
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Spelta, Alessandro and Tanya Araujo. 2012. "The topology of cross-border exposures : beyond the minimal spanning tree approach". Instituto Superior de Economia e Gestão - DE Working papers nº 11-2012/DE/UECE
0874-4548
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - Departamento de Economia
publisher.none.fl_str_mv ISEG - Departamento de Economia
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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