The missing links: A global study on uncovering financial network structures from partial data

被引：80

作者：

Anand, Kartik ^{[1
]}

van Lelyveld, Iman ^{[2
]}

Banai, Adam ^{[3
]}

Friedrich, Soeren ^{[1
]}

Garratt, Rodney ^{[4
]}

Halaj, Grzegorz ^{[5
]}

Fique, Jose ^{[6
]}

Hansen, Ib ^{[7
]}

Jaramillo, Serafin Martinez ^{[8
]}

Lee, Hwayun ^{[9
]}

Molina-Borboa, Jose Luis ^{[8
]}

Nobili, Stefano ^{[10
]}

Rajan, Sriram ^{[11
]}

Salakhova, Dilyara ^{[12
]}

Silva, Thiago Christiano ^{[13
]}

Silvestri, Laura ^{[14
]}

Stancato de Souza, Sergio Rubens ^{[13
]}

机构：

[1] Deutsch Bundesbank, Frankfurt, Germany

[2] Nederlandsche Bank, Amsterdam, Netherlands

[3] Magyar Nemzeti Bank, Budapest, Hungary

[4] Fed Reserve Bank New York, New York, NY 10045 USA

[5] European Cent Bank, Frankfurt, Germany

[6] Bank Canada, Ottawa, ON, Canada

[7] Danmarks Nationalbank, Copenhagen, Denmark

[8] Banco Mexico, Mexico City, DF, Mexico

[9] Bank Korea, Seoul, South Korea

[10] Banca Italia, Rome, Italy

[11] Off Financial Res, Washington, DC USA

[12] Banque France, Paris, France

[13] Banco Cent Brasil, Brasilia, DF, Brazil

[14] Bank England, London, England

来源：

JOURNAL OF FINANCIAL STABILITY | 2018年 / 35卷

关键词：

Network reconstruction; Market structure; Intermediation; SYSTEMIC RISK; MARKET;

D O I：

10.1016/j.jfs.2017.05.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed from partial data. In this paper, we conduct a horse race of network reconstruction methods using network data obtained from 25 different markets spanning 13 jurisdictions. Our contribution is two-fold: first, we collate and analyze data on a wide range of financial networks. And second, we rank the methods in terms of their ability to reconstruct the structures of links and exposures in networks. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：107 / 119

页数：13