Multiplex Interbank Networks and Systemic Importance - An Application to European Data

38 Pages Posted: 10 Jan 2017

See all articles by Iñaki Aldasoro

Iñaki Aldasoro

Bank for International Settlements (BIS)

Ivan Alves

European Central Bank

Multiple version iconThere are 4 versions of this paper

Date Written: January 2017

Abstract

Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks' balance sheets is more complex than the single-layer-of-exposure approach suggests. We use data on exposures between large European banks, broken down by both maturity and instrument type, to characterise the main features of the multiplex (or multi-layered) structure of the network of large European banks. Banks that are well connected or important in one network, tend to also be well connected in other networks (i.e. the network features positively correlated multiplexity). The di erent layers exhibit a high degree of similarity, stemming both from standard similarity analyses as well as a core-periphery analyses at the layer level. We propose measures of systemic importance that t the case in which banks are connected through an arbitrary number of layers (be it by instrument, maturity or a combination of both). Such measures allow for a decomposition of the global systemic importance index for any bank into the contributions of each of the sub-networks, providing a potentially useful tool for banking regulators and supervisors in identifying tailored policy responses. We use the dataset of exposures between large European banks to illustrate that both the methodology and the speci c level of network aggregation may matter both in the determination of interconnectedness and in the policy making process.

Keywords: interbank networks, systemic importance, multiplex networks

JEL Classification: G21, D85, C67

Suggested Citation

Aldasoro, Iñaki and Alves, Ivan B., Multiplex Interbank Networks and Systemic Importance - An Application to European Data (January 2017). BIS Working Paper No. 603, Available at SSRN: https://ssrn.com/abstract=2896744

Iñaki Aldasoro (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Ivan B. Alves

European Central Bank ( email )

Kaiserstr. 29
Frankfurt am Main, 60311
Germany

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