The Missing Links: A Global Study on Uncovering Financial Network Structures from Partial Data

40 Pages Posted: 5 Nov 2020

See all articles by Kartik Anand

Kartik Anand

Deutsche Bundesbank

Iman van Lelyveld

De Nederlandsche Bank; VU University Amsterdam

Ádám Banai

Magyar Nemzeti Bank

Soeren Friedrich

Deutsche Bundesbank

Rodney Garratt

Federal Reserve Banks - Federal Reserve Bank of New York

Grzegorz Hałaj

Government of Canada - Bank of Canada

Jose Fique

Indiana University Bloomington - Department of Economics

Ib Hansen

European Central Bank (ECB)

Serafín Martínez Jaramillo

Banco de Mexico

Hwayun Lee

The Bank of Korea

José Luis Molina-Borboa

Bank of Mexico

Stefano Nobili

Bank of Italy

Sriram Rajan

Government of the United States of America - Office of Financial Research

Dilyara Salakhova

European Central Bank (ECB)

Laura Silvestri

Bank of England

Sergio Rubens Stancato

Government of the Federative Republic of Brazil - Central Bank of Brazil

Thiago Cerqueira-Silva

Oswaldo Cruz Foundation (FIOCRUZ) - Gonçalo Moniz Institute (IGM)

Date Written: July 1, 2017

Abstract

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.

Keywords: intermediation, market structure, network reconstruction

JEL Classification: G20, L14, D85, C63

Suggested Citation

Anand, Kartik and van Lelyveld, Iman and Banai, Ádám and Friedrich, Soeren and Garratt, Rodney and Hałaj, Grzegorz and Fique, Jose and Hansen, Ib and Jaramillo, Serafín Martínez and Lee, Hwayun and Molina-Borboa, José Luis and Nobili, Stefano and Rajan, Sriram and Salakhova, Dilyara and Silvestri, Laura and Stancato, Sergio Rubens and Cerqueira-Silva, Thiago, The Missing Links: A Global Study on Uncovering Financial Network Structures from Partial Data (July 1, 2017). ESRB: Working Paper Series No. 2017/51, Available at SSRN: https://ssrn.com/abstract=3723398

Kartik Anand (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

HOME PAGE: http://www.bundesbank.de/research_kartik_anand

Iman van Lelyveld

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

VU University Amsterdam ( email )

Netherlands

Ádám Banai

Magyar Nemzeti Bank

Szabadsag ter 8-9
Budapest, H-1850
Hungary

Soeren Friedrich

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Rodney Garratt

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Grzegorz Hałaj

Government of Canada - Bank of Canada ( email )

234 Wellington Street
Ontario, Ottawa K1A 0G9
Canada

Jose Fique

Indiana University Bloomington - Department of Economics ( email )

Wylie Hall
Bloomington, IN 47405-6620
United States

Ib Hansen

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Serafín Martínez Jaramillo

Banco de Mexico

Ave Cinco de Mayo 1
Col. Centro
Mexico City, Mexico DF 06059
Mexico

Hwayun Lee

The Bank of Korea ( email )

Korea, Republic of (South Korea)

José Luis Molina-Borboa

Bank of Mexico ( email )

Av. 5 de Mayo 18
Piso 4
Mexico City, 06059
Mexico

Stefano Nobili

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Sriram Rajan

Government of the United States of America - Office of Financial Research ( email )

717 14th Street, NW
Washington DC, DC 20005
United States

Dilyara Salakhova

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Laura Silvestri

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Sergio Rubens Stancato

Government of the Federative Republic of Brazil - Central Bank of Brazil

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia, Distr. Federal 70074-900
Brazil

Thiago Cerqueira-Silva

Oswaldo Cruz Foundation (FIOCRUZ) - Gonçalo Moniz Institute (IGM)

Brazil

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