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Input-Output-based Measures of Systemic Importance

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  • Aldasoro, Iñaki
  • Angeloni, Ignazio

Abstract

The 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 49557.

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Date of creation: Aug 2013
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Handle: RePEc:pra:mprapa:49557

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Keywords: banks; input-output; systemic risk; too-interconnected-to fail; networks; interbank markets;

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Cited by:
  1. Angeloni, Ignazio & Faia, Ester & Winkler, Roland, 2014. "Exit strategies," SAFE Working Paper Series 50, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.

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