Related papers: Banking Networks and Leverage Dependence: Evidence…
The nexus between debt and inequality has attracted considerable scholarly attention in the wake of the global financial crisis. One prominent candidate to explain the striking co-evolution of income inequality and private debt in this…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions…
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the…
The scale and terms of aggregate borrowing in an economy depend on the manner in which wealth is distributed across potential creditors with heterogeneous beliefs about the future. This distribution evolves over time as uncertainty is…
A central challenge in financial economics is understanding how credit networks form under informational noise. We introduce the concept of topological capital, arguing that banks increasingly rely on topological certification, interpreting…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
Borrowing constraints are a key component of modern international macroeconomic models. The analysis of Emerging Markets (EM) economies generally assumes collateral borrowing constraints, i.e., firms access to debt is constrained by the…
This paper investigates some indicators of financial development in select countries with currency board systems and raises some questions about the connection between financial development and growth in currency board systems. Most of…
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been…
In economic systems, the mix of products that countries make or export has been shown to be a strong leading indicator of economic growth. Hence, methods to characterize and predict the structure of the network connecting countries to the…
The past decade has seen tremendous growth in the field of Complex Social Networks. Several network generation models have been extensively studied to develop an understanding of how real world networks evolve over time. Two important…
We study a model of wealth dynamics [Bouchaud and M\'ezard 2000, \emph{Physica A} \textbf{282}, 536] which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of…
Production in an economy is a set of firms' activities as suppliers and customers; a firm buys goods from other firms, puts value added and sells products to others in a giant network of production. Empirical study is lacking despite the…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
Economic and financial networks play a crucial role in various important processes, including economic integration, globalization, and financial crises. Of particular interest is understanding whether the temporal evolution of a real…
We propose a model for evolving networks by merging building blocks represented as complete graphs, reminiscent of modules in biological system or communities in sociology. The model shows power-law degree distributions, power-law…
The prediction of both the existence and weight of network links at future time points is essential as complex networks evolve over time. Traditional methods, such as vector autoregression and factor models, have been applied to small,…