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dc.contributor.author
Aparicio, Diego Daniel
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dc.contributor.author
Fraiman Borrazás, Daniel Edmundo
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dc.date.available
2018-04-24T17:18:49Z
dc.date.issued
2015-11
dc.identifier.citation
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
dc.identifier.issn
0219-5259
dc.identifier.uri
http://hdl.handle.net/11336/43255
dc.description.abstract
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.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
World Scientific
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dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Leverage Dynamics
dc.subject
Banking Network
dc.subject
Balance Sheet Data.
dc.subject.classification
Astronomía
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dc.subject.classification
Ciencias Físicas
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dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
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dc.title
Banking Networks and Leverage Dependence in Emerging Countries
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-04-17T13:49:05Z
dc.journal.volume
18
dc.journal.number
07n08
dc.journal.pais
Singapur
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dc.journal.ciudad
Londres
dc.description.fil
Fil: Aparicio, Diego Daniel. Massachusetts Institute of Technology; Estados Unidos
dc.description.fil
Fil: Fraiman Borrazás, Daniel Edmundo. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés. Departamento de Matemáticas y Ciencias; Argentina
dc.journal.title
Advances In Complex Systems
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dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1142/S0219525915500228
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.worldscientific.com/doi/abs/10.1142/S0219525915500228
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