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

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  • Spelta, Alessandro
  • Araújo, Tanya

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:phsmap:v:391:y:2012:i:22:p:5572-5583
    DOI: 10.1016/j.physa.2012.05.071
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    Citations

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    Cited by:

    1. Araújo, Tanya & Faustino, Rui, 2017. "The topology of inter-industry relations from the Portuguese national accounts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 236-248.
    2. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised May 2018.
    3. 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.
    4. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    5. Araújo, Tanya & Ferreira, Manuel Ennes, 2016. "The topology of African exports: Emerging patterns on spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 962-976.
    6. Dias, João, 2013. "Spanning trees and the Eurozone crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5974-5984.
    7. Alessandro Spelta & Tanya Araujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Working Papers Department of Economics 2012/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    8. Tanya Ara'ujo & Rui Faustino, 2016. "The Topology of Inter-industry Relations from the Portuguese National Accounts," Papers 1612.06291, arXiv.org.
    9. Araújo, Tanya & Fontainha, Elsa, 2017. "The specific shapes of gender imbalance in scientific authorships: A network approach," Journal of Informetrics, Elsevier, vol. 11(1), pages 88-102.
    10. Alessandro Spelta & Tanya Ara'ujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Papers 1205.5675, arXiv.org.

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