世界経済・社会統計 = World development indicators

The structure and dynamics of multilayer networks

Many ``real-world'' networks are clearly defined while most ``social'' networks are to some extent subjective. Indeed, the accuracy of empirically-determined social networks is a question of some concern because individuals may have distinct perceptions of what constitutes a social link. One unambiguous type of connection is sexual contact. Here we analyze data on the sexual behavior of a random sample of individuals, and find that the cumulative distributions of the number of sexual partners during the twelve months prior to the survey decays as a power law with similar exponents $\alpha \approx 2.4$ for females and males. The scale-free nature of the web of human sexual contacts suggests that strategic interventions aimed at preventing the spread of sexually-transmitted diseases may be the most efficient approach.

The Web of Human Sexual Contacts

Financial systems are crucial to the allocation of resources in a modern economy. They channel household savings to the corporate sector and allocate investment funds among firms; they allow intertemporal smoothing of consumption by households and expenditures by firms; and they enable households and firms to share risks. These functions are common to the financial systems of most developed economies. Yet the form of these financial systems varies widely. In the United States and the United Kingdom competitive markets dominate the financial landscape, whereas in France, Germany, and Japan banks have traditionally played the most important role. Why do different countries have such different financial systems? Is one system better than all the others? Do different systems merely represent alternative ways of satisfying similar needs? Is the current trend toward market-based systems desirable? Franklin Allen and Douglas Gale argue that the view that market-based systems are best is simplistic. A more nuanced approach is necessary. For example, financial markets may be bad for risk sharing; competition in banking may be inefficient; financial crises can be good as well as bad; and separation of ownership and control can be optimal. Financial institutions are not simply veils, disguising the allocation mechanism without affecting it, but are crucial to overcoming market imperfections. An optimal financial system relies on both financial markets and financial intermediaries.

比较金融系统 = Comparing financial systems

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1577043_code459244.pdf?abstractid=1577043&mirid=1

Contagion in Financial Networks

We propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. We model both asset correlations and interlinkages from interbank borrowing so that our analysis gauges two major sources of systemic risk: correlated exposures and mutual credit relations that may cause domino effects of insolvencies. We apply our method to a data set of the ten major UK banks and analyze insolvency risk over a one-year horizon. We also suggest a stress-testing procedure by analyzing the conditional asset return distribution that results from the hypothetical failure of individual institutions in this system. Rather than looking at individual bank defaults ceteris paribus, we take the change in the asset return distribution and the resulting change in the risk of all other banks into account. This takes previous stress tests of interlinkages a substantial step further.

Using Market Information for Banking System Risk Assessment

We provide an empirical analysis of the network structure of the Austrian interbank market based on a unique data set of the Oesterreichische Nationalbank (OeNB). The analysis relies on the idea that an interbank market can be interpreted as a network where the banks form the nodes and the claims and liabilities between them define the edges of the network. This approach allows us to apply results from general network theory, which is widely applied in other scientific disciplines — mainly in physics. Specifically, we use different measures from this network theory to investigate the empirical network structure of the Austrian banking system. We focus on the question of how this structure affects the stability of the network (the banking system) with respect to the elimination of a node in the network (the default of a single bank). Regarding the network structure, we find that there are very few banks with many interbank linkages whereas there are many with only a few links. This feature of networks has been repeatedly found to be conducive to the robustness of the network against the random breakdown of links (the default of single institutions due to external shocks). In addition, the interbank network shows a community structure that exactly mirrors the regional and sectoral organization of the current Austrian banking system. Moreover, the banking network has typical structural features found in numerous other complex real world networks: a low clustering coefficient and a relatively short average shortest path length. These empirical findings are in marked contrast to network structures that have been assumed in the theoretical economic and econo-physics literature.

An Empirical Analysis of the Network Structure of the Austrian Interbank Market 1

In 2002 the Oesterreichische Nationalbank (OeNB) launched in parallel several projects to develop modern tools for systemic financial stability analysis, off-site banking supervision and supervisory data analysis. In these projects the OeNB’s expertise in financial analysis and research was combined with expertise from the Austrian Financial Market Authority (FMA) and from academia. Systemic Risk Monitor (SRM) is part of this effort. SRM is a model to analyze banking supervision data and data from the Major Loans Register collected at the OeNB in an integrated quantitative risk management framework to assess systemic risk in the Austrian banking system at a quarterly frequency. SRM is also used to perform regular stress testing exercises. This paper gives an overview of the general ideas used by SRM and shows some of its applications to a recent Austrian dataset.

Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems

The Czech Republic, Hungary and Poland (CEEC-3) have undertaken substantial efforts to build a new financial system under the constraints of their legacies from central planning In this study, first we look at the banking sector Then we give a description of bond and stock markets These topics are comple-mented by an analysis of the structure of funding for the private and public sector, of the financial sector's vulnerability and of the legal conditions for external finance as well as for banking supervision We find that the financial sector and financial intermediation are internationally integrated already to a large extent This implies, inter alia, a non-negligible exposure of the corporate sector to exchange rate risk While funding via equity markets remained modest, local currency-denominated debt issues are important for public financing Our analysis shows that the legal, supervisory and regulatory infra-structure of the financial system is formally well developed, but suffers from enforcement problems

https://www.econstor.eu/bitstream/10419/163448/1/suerf-study-16.pdf

Martin Summer

Papers

Using Market Information for Banking System Risk Assessment

An Empirical Analysis of the Network Structure of the Austrian Interbank Market 1

Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems

Financial system transition in Central Europe: The first decade

Financial Contagion and Network Analysis