The topology of cross-border exposures: Beyond the minimal spanning tree approach
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/29463 |
Resumo: | The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border 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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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 cross-border 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.ElsevierRepositório da Universidade de LisboaSpelta, AlessandroAraújo, Tanya2023-11-22T09:10:09Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/29463engSpelta, Alessandro and Tanya Araújo .(2012). “The topology of cross-border exposures: Beyond the minimal spanning tree approach”. Physica A: Statistical Mechanics and its Applications, Volume 391, Issue 22: pp. 5572-5583. (Search PDF in 2023).0378-4371doi.org/10.1016/j.physa.2012.05.071info: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:RCAAP2023-11-26T01:31:58Zoai:www.repository.utl.pt:10400.5/29463Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:19:48.175398Repositório 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 cross-border 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 2012-01-01T00:00:00Z 2023-11-22T09:10:09Z |
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/10400.5/29463 |
url |
http://hdl.handle.net/10400.5/29463 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Spelta, Alessandro and Tanya Araújo .(2012). “The topology of cross-border exposures: Beyond the minimal spanning tree approach”. Physica A: Statistical Mechanics and its Applications, Volume 391, Issue 22: pp. 5572-5583. (Search PDF in 2023). 0378-4371 doi.org/10.1016/j.physa.2012.05.071 |
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 |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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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1799135497133490176 |