Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

Markose, Sheri M

doi:10.5089/9781475577501.001

Cited by 64 publications

(72 citation statements)

References 29 publications

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“…An alternative is to apply network analysis to identify interlinkages between financial institutions. Recent examples include Markose (2012) and in't Veld and van Lelyveld (2014). Markose (2012) models the contagion-like threats posed by the activities of large financial intermediaries in the over-the-counter (OTC) derivatives markets, while in't Veld and van Lelyveld (2014) investigate the network structure of interbank markets.…”

Section: Limitationsmentioning

confidence: 99%

Financial Stress Indices and Financial Crises

et al. 2015

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This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines its relationship to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that even though our FSI is clearly related to the occurrence of crises, there is only a weak relationship between the FSI and the onset of a crisis, notably the onset of a banking crisis. Policymakers should therefore be aware of the limited usefulness of FSIs as an early warning indicator.

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Section: Limitationsmentioning

confidence: 99%

Financial Stress Indices and Financial Crises

et al. 2015

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“…Markose based her financial network analysis on eigen-pair analysis (Markose, 2012). In both of these analysis, right and left eigenvector centralities which correspond to maximum eigenvalue of the network are identified as systemicity measure.…”

Section: Methodsmentioning

confidence: 99%

“…Each component of weighted adjacency matrix X that is built depending on BIS database corresponds to liability from borrower to lender which means that x ij represents gross financial obligation flow from country i to country j. Following Markose et al (2012), we applied the methodology to M matrix of which elements ( − ) give the netted position between country i and country j. Skew symetrical matrix which is defined as a square matrix that fulfils = − for all possible i and j is presented below for = − ′ as a 4x4 dimensional matrix.…”

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Network analysis of interbank cross-border flows at country level (2006 - 2015)

Eren¹,

Soyyiğit²

2017

Pressacademia

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In today's globalized world, economic activities are performed beyond the physical boundaries of countries. It can be seen as increasing activities such as trade of goods, financial flows and trade of intermediate goods. Network analysis, that has been used to analyze formations of complex systems recently, is frequently used to investigate these global economic relations. In this context, international trade networks, financial networks and global production networks (input-output networks) are some of the fields that are analyzed in an interdisciplinary way. In this study, it is aimed to analyze interbank cross-border flows at country-level by applying network analysis. Thus, we expect to investigate the systemic importance and vulnerabilities of countries in international banking sector by applying HITs algorithm from 2006 to 2015. HITs algorithm has an advantage since it takes second order adjacencies of countries into consideration. As a consequence of the analysis, it will be possible to see the effects of global and Eurozone crises on systemic importance and vulnerabilities of countries.

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“…Empirically, network analysis is widely used for studying the structure of the domestic interbank system (Cocco et al, 2009;Furfine, 2003;Iori et al, 2008), global banking network (Minoiu and Reyes, 2010;Hattori and Suda, 2007), international financial network (Cetorelli and Peristiani, 2009;Kubelec and Sa, 2010), global financial derivatives network (Markose, 2012) and other sectors of financial system. For a more detailed overview of the network analysis and its current stance see Allen and Babus (2008).…”

Section: Introductionmentioning

confidence: 99%