Input-Output-based Measures of Systemic Importance
AbstractThe analyses of intersectoral linkages of Leontief (1941)and Hirschman (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 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 49557.
Date of creation: Aug 2013
Date of revision:
banks; input-output; systemic risk; too-interconnected-to fail; networks; interbank markets;
Other versions of this item:
- Aldasoro, Iñaki & Angeloni, Ignazio, 2013. "Input-output-based measures of systemic importance," SAFE Working Paper Series 29, Center of Excellence SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
- C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
- G00 - Financial Economics - - General - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-26 (All new papers)
- NEP-BAN-2013-09-26 (Banking)
- NEP-HME-2013-09-26 (Heterodox Microeconomics)
- NEP-NET-2013-09-26 (Network Economics)
- NEP-RMG-2013-09-26 (Risk Management)
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