The multiplex nature of global financial contagions

Applied Network Science

Mason A. Porter¹  R. Maria del Rio-Chanona²  Manasa Patnam³  Yevgeniya Korniyenko³ 

[1] Department of Mathematics, University of California Los Angeles, Los Angeles, CA, USA;Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, Oxford, UK;Mathematical Institute, University of Oxford, Oxford, UK;International Monetary Fund, Washington D.C., USA;

关键词: Financial contagions;    Systemic risk;    Multiplex networks;   

DOI  :  10.1007/s41109-020-00301-2

来源: Springer

【 摘 要 】

As illustrated by the 2008 global financial crisis, the financial distress of one country can trigger financial distress in other countries. We examine the problem of identifying such “systemically important” countries (i.e., countries whose financial distress can trigger further distress), which is important for assessing global financial stability. Using data on bilateral financial positions that are split by asset type, we build a multiplex global financial network in which nodes represent countries, edges encode cross-country financial assets of various types, and layers represent asset types. We examine the temporal evolution of a measure of node importance known as MultiRank centrality, and we find that several major European countries decrease in rank and that several major Asian countries increase in rank since 2008. We then develop a multiplex threshold model of financial contagions in which a shock can propagate either within a layer or between layers. We find that the number of systemically important countries can be twice as large when we take into account the heterogeneity of financial exposures (i.e., when using a multiplex network) than in a contagion on an associated aggregate global financial network (i.e., on a monolayer network), as is often examined in other studies. We also study the extent to which buffers can reduce the propagation of financial distress. Our analysis suggests that accounting for both intralayer and interlayer propagation of contagions in a multiplex structure of financial assets is important for understanding interconnected financial systems of countries.

【 授权许可】

CC BY