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An Empirical Analysis of the Network Structure of the Austrian Interbank Market

Citations

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Cited by:

  1. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
  2. Alessandro Spelta & Tanya Araújo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Quaderni di Dipartimento 181, University of Pavia, Department of Economics and Quantitative Methods.
  3. Kanno, Masayasu, 2022. "Exploring risks in syndicated loan networks: Evidence from real estate investment trusts," Economic Modelling, Elsevier, vol. 115(C).
  4. Roukny, Tarik & Georg, Co-Pierre & Battiston, Stefano, 2014. "A network analysis of the evolution of the German interbank market," Discussion Papers 22/2014, Deutsche Bundesbank.
  5. Guo, Yanhong & Li, Ping & Li, Aihua, 2021. "Tail risk contagion between international financial markets during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 73(C).
  6. Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010. "Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Working Papers 033, COMISEF.
  7. Leventides, John & Loukaki, Kalliopi & Papavassiliou, Vassilios G., 2019. "Simulating financial contagion dynamics in random interbank networks," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 500-525.
  8. Kanno, Masayasu, 2016. "The network structure and systemic risk in the global non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 38-53.
  9. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(65), pages 106-175, June.
  10. Araújo, Tanya & Spelta, Alessandro, 2014. "Structural changes in cross-border liabilities: A multidimensional approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.
  11. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.
  12. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June.
  13. P. Giudici & A. Spelta, 2016. "Graphical Network Models for International Financial Flows," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 128-138, January.
  14. Paolo Bartesaghi & Michele Benzi & Gian Paolo Clemente & Rosanna Grassi & Ernesto Estrada, 2019. "Risk-dependent centrality in economic and financial networks," Papers 1907.07908, arXiv.org, revised Apr 2020.
  15. Ardekani, Aref Mahdavi & Distinguin, Isabelle & Tarazi, Amine, 2020. "Do banks change their liquidity ratios based on network characteristics?," European Journal of Operational Research, Elsevier, vol. 285(2), pages 789-803.
  16. Kanno, Masayasu, 2019. "Network structures and credit risk in cross-shareholdings among listed Japanese companies," Japan and the World Economy, Elsevier, vol. 49(C), pages 17-31.
  17. Aref Mahdavi Ardekani, 2020. "Liquidity, Interbank Network Topology and Bank Capital," Documents de travail du Centre d'Economie de la Sorbonne 20022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  18. Jonnathan Cáceres Santos & René Aldazosa Inchauste, 2013. "Analizando el riesgo sistémico en Bolivia: una aplicación de modelos de topología de redes y simulación al funcionamiento del Sistema de Pagos de Alto Valor," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 17(2(2012)-1), pages 45-80, January.
  19. Nicolò Pecora & Alessandro Spelta, 2016. "Discovering SIFIs in interbank communities," DISCE - Working Papers del Dipartimento di Economia e Finanza def037, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  20. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(65), pages 106-175, June.
  21. Yang Xu, 2017. "Intervention On Default Contagion Under Partial Information," Papers 1710.02127, arXiv.org.
  22. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  23. Spelta, Alessandro & Araújo, Tanya, 2012. "The topology of cross-border exposures: Beyond the minimal spanning tree approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5572-5583.
  24. He, Jianmin & Sui, Xin & Li, Shouwei, 2016. "An endogenous model of the credit network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 441(C), pages 1-14.
  25. Nicolò Pecora & Alessandro Spelta, 2014. "Shareholding Network in the Euro Area Banking Market," DISCE - Working Papers del Dipartimento di Economia e Finanza def014, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  26. Dairo Estrada & Daniel Osorio, 2006. "A Market Risk Approach to Liquidity Risk and Financial Contagion," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 24(50), pages 242-271, June.
  27. Kanno, Masayasu, 2020. "Credit rating migration risk and interconnectedness in a corporate lending network," Research in International Business and Finance, Elsevier, vol. 54(C).
  28. Alesia Kalbaska & Cesario Mateus, 2019. "From sovereigns to banks: evidence on cross-border contagion," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 86-103, March.
  29. Yang Xu, 2019. "Intervention on default contagion under partial information in a financial network," PLOS ONE, Public Library of Science, vol. 14(1), pages 1-60, January.
  30. Ferrari Minesso, Massimo, 2020. "Bank contagion in general equilibrium," Working Paper Series 2432, European Central Bank.
  31. Carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," Borradores de Economia 11104, Banco de la Republica.
  32. Alessandro Spelta & Tanya Ara'ujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Papers 1205.5675, arXiv.org.
  33. Ms. Sheri M. Markose, 2012. "Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax," IMF Working Papers 2012/282, International Monetary Fund.
  34. repec:ctc:serie1:def14 is not listed on IDEAS
  35. Shouwei Li, 2011. "Contagion Risk In An Evolving Network Model Of Banking Systems," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 673-690.
  36. Lv, Jiamin & Ben, Shenglin & Huang, Wenli & Xu, Yueling, 2023. "How to reduce the default contagion risk of intercorporate credit guarantee networks? Evidence from China," Emerging Markets Review, Elsevier, vol. 55(C).
  37. Bech, Morten L. & Chapman, James T.E. & Garratt, Rodney J., 2010. "Which bank is the "central" bank?," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 352-363, April.
  38. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  39. Alessandro Spelta & Tanya Ara'ujo, 2011. "The topology of cross-border exposures: beyond the minimal spanning tree approach," Papers 1112.5711, arXiv.org.
  40. Kanno, Masayasu, 2020. "Credit risk assessment in real estate investment trusts: A perspective on blockholding and lending networks," International Review of Financial Analysis, Elsevier, vol. 71(C).
  41. Caceres-Santos, Jonnathan & Rodriguez-Martinez, Anahi & Caccioli, Fabio & Martinez-Jaramillo, Serafin, 2020. "Systemic risk and other interdependencies among banks in Bolivia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  42. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
  43. Nicolò Pecora & Pablo Rovira Kaltwasser & Alessandro Spelta, 2016. "Discovering SIFIs in Interbank Communities," PLOS ONE, Public Library of Science, vol. 11(12), pages 1-17, December.
  44. Kanno, Masayasu, 2015. "The network structure and systemic risk in the Japanese interbank market," Japan and the World Economy, Elsevier, vol. 36(C), pages 102-112.
  45. Yanquen, Eduardo & Livan, Giacomo & Montañez-Enriquez, Ricardo & Martinez-Jaramillo, Serafin, 2022. "Measuring systemic risk for bank credit networks: A multilayer approach," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
  46. Kanno, Masayasu, 2015. "Assessing systemic risk using interbank exposures in the global banking system," Journal of Financial Stability, Elsevier, vol. 20(C), pages 105-130.
  47. Masayasu Kanno, 2018. "Bank–insurer–firm tripartite interconnectedness of credit risk exposures in a cross-shareholding network," Risk Management, Palgrave Macmillan, vol. 20(4), pages 273-303, November.
  48. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2010. "Attributing systemic risk to individual institutions," BIS Working Papers 308, Bank for International Settlements.
  49. Martínez-Jaramillo, Serafín & Pérez, Omar Pérez & Embriz, Fernando Avila & Dey, Fabrizio López Gallo, 2010. "Systemic risk, financial contagion and financial fragility," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2358-2374, November.
  50. Fernando M. Duarte & Collin Jones, 2017. "Empirical network contagion for U.S. financial institutions," Staff Reports 826, Federal Reserve Bank of New York.
  51. Stefano Gurciullo, 2014. "Stess-testing the system: Financial shock contagion in the realm of uncertainty," Papers 1412.1679, arXiv.org.
  52. repec:bdr:ensayo:v::y:2006:i:50:p:242-271 is not listed on IDEAS
  53. Morten L. Bech & James T. E. Chapman & Rod Garratt, 2008. "Which bank is the \\"central\\" bank? an application of Markov theory to the Canadian Large Value Transfer System," Staff Reports 356, Federal Reserve Bank of New York.
  54. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
  55. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 7669, Banco de la Republica.
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