Banking Networks and Leverage Dependence in Emerging Countries

Autores
Aparicio, Diego Daniel; Fraiman Borrazás, Daniel Edmundo
Año de publicación
2015
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We construct banking networks using bank-level balance sheet data from 2005 to 2010 from five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. The network interaction is based on the leverage ratio dependence between each pair of banks within a same country. Despite leverage and accounting rules heterogeneity, the results are robust across countries. The leverage diversity produces financial networks with a modular structure characterized by one large bank community, some small ones, and iso- lated banks. However, these groups of banks merge together creating a financial network topology that converges to a unique large cluster at a relatively low leverage depen- dence level. Finally, we simulate the banking system through a model of corporate and interbank loans with credit shocks, where links between banks arise due to insufficient liquidity. The model yields leverage-based networks that are similar to the empirical ones. A model prediction for banks? growth is presented and tested in the data.
Fil: Aparicio, Diego Daniel. Massachusetts Institute of Technology; Estados Unidos
Fil: Fraiman Borrazás, Daniel Edmundo. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés. Departamento de Matemáticas y Ciencias; Argentina
Materia
Leverage Dynamics
Banking Network
Balance Sheet Data.
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/43255
Acceder
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spelling Banking Networks and Leverage Dependence in Emerging CountriesAparicio, Diego DanielFraiman Borrazás, Daniel EdmundoLeverage DynamicsBanking NetworkBalance Sheet Data.https://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1We construct banking networks using bank-level balance sheet data from 2005 to 2010 from five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. The network interaction is based on the leverage ratio dependence between each pair of banks within a same country. Despite leverage and accounting rules heterogeneity, the results are robust across countries. The leverage diversity produces financial networks with a modular structure characterized by one large bank community, some small ones, and iso- lated banks. However, these groups of banks merge together creating a financial network topology that converges to a unique large cluster at a relatively low leverage depen- dence level. Finally, we simulate the banking system through a model of corporate and interbank loans with credit shocks, where links between banks arise due to insufficient liquidity. The model yields leverage-based networks that are similar to the empirical ones. A model prediction for banks? growth is presented and tested in the data.Fil: Aparicio, Diego Daniel. Massachusetts Institute of Technology; Estados UnidosFil: Fraiman Borrazás, Daniel Edmundo. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés. Departamento de Matemáticas y Ciencias; ArgentinaWorld Scientific2015-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/43255Aparicio, Diego Daniel; Fraiman Borrazás, Daniel Edmundo; Banking Networks and Leverage Dependence in Emerging Countries; World Scientific; Advances In Complex Systems; 18; 07n08; 11-20150219-5259CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1142/S0219525915500228info:eu-repo/semantics/altIdentifier/url/https://www.worldscientific.com/doi/abs/10.1142/S0219525915500228info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-15T15:25:33Zoai:ri.conicet.gov.ar:11336/43255instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-15 15:25:34.099CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Banking Networks and Leverage Dependence in Emerging Countries
title Banking Networks and Leverage Dependence in Emerging Countries
spellingShingle Banking Networks and Leverage Dependence in Emerging Countries
Aparicio, Diego Daniel
Leverage Dynamics
Banking Network
Balance Sheet Data.
title_short Banking Networks and Leverage Dependence in Emerging Countries
title_full Banking Networks and Leverage Dependence in Emerging Countries
title_fullStr Banking Networks and Leverage Dependence in Emerging Countries
title_full_unstemmed Banking Networks and Leverage Dependence in Emerging Countries
title_sort Banking Networks and Leverage Dependence in Emerging Countries
dc.creator.none.fl_str_mv Aparicio, Diego Daniel
Fraiman Borrazás, Daniel Edmundo
author Aparicio, Diego Daniel
author_facet Aparicio, Diego Daniel
Fraiman Borrazás, Daniel Edmundo
author_role author
author2 Fraiman Borrazás, Daniel Edmundo
author2_role author
dc.subject.none.fl_str_mv Leverage Dynamics
Banking Network
Balance Sheet Data.
topic Leverage Dynamics
Banking Network
Balance Sheet Data.
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We construct banking networks using bank-level balance sheet data from 2005 to 2010 from five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. The network interaction is based on the leverage ratio dependence between each pair of banks within a same country. Despite leverage and accounting rules heterogeneity, the results are robust across countries. The leverage diversity produces financial networks with a modular structure characterized by one large bank community, some small ones, and iso- lated banks. However, these groups of banks merge together creating a financial network topology that converges to a unique large cluster at a relatively low leverage depen- dence level. Finally, we simulate the banking system through a model of corporate and interbank loans with credit shocks, where links between banks arise due to insufficient liquidity. The model yields leverage-based networks that are similar to the empirical ones. A model prediction for banks? growth is presented and tested in the data.
Fil: Aparicio, Diego Daniel. Massachusetts Institute of Technology; Estados Unidos
Fil: Fraiman Borrazás, Daniel Edmundo. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés. Departamento de Matemáticas y Ciencias; Argentina
description We construct banking networks using bank-level balance sheet data from 2005 to 2010 from five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. The network interaction is based on the leverage ratio dependence between each pair of banks within a same country. Despite leverage and accounting rules heterogeneity, the results are robust across countries. The leverage diversity produces financial networks with a modular structure characterized by one large bank community, some small ones, and iso- lated banks. However, these groups of banks merge together creating a financial network topology that converges to a unique large cluster at a relatively low leverage depen- dence level. Finally, we simulate the banking system through a model of corporate and interbank loans with credit shocks, where links between banks arise due to insufficient liquidity. The model yields leverage-based networks that are similar to the empirical ones. A model prediction for banks? growth is presented and tested in the data.
publishDate 2015
dc.date.none.fl_str_mv 2015-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/43255
Aparicio, Diego Daniel; Fraiman Borrazás, Daniel Edmundo; Banking Networks and Leverage Dependence in Emerging Countries; World Scientific; Advances In Complex Systems; 18; 07n08; 11-2015
0219-5259
CONICET Digital
CONICET
url http://hdl.handle.net/11336/43255
identifier_str_mv Aparicio, Diego Daniel; Fraiman Borrazás, Daniel Edmundo; Banking Networks and Leverage Dependence in Emerging Countries; World Scientific; Advances In Complex Systems; 18; 07n08; 11-2015
0219-5259
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1142/S0219525915500228
info:eu-repo/semantics/altIdentifier/url/https://www.worldscientific.com/doi/abs/10.1142/S0219525915500228
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv World Scientific
publisher.none.fl_str_mv World Scientific
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1846083400050409472
score 13.221938

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