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Journal of Financial Stability Vol. 35 2018

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

Kartik Anand1; Iman van Lelyveld; Ádám Banai2; Soeren Friedrich1; Rodney Garratt3; Grzegorz Hałaj4; Jose Fique5; Ib Hansen6; Serafín Martínez Jaramillo; Hwayun Lee7; José Luis Molina-Borboa8; Stefano Nobili9; Sriram Rajan10; Dilyara Salakhova11; Thiago Christiano Silva12; Laura Silvestri13; Sergio Rubens Stancato de Souza

1 Deutsche Bundesbank · 2 Hungarian National Bank · 3 Federal Reserve Bank of New York · 4 European Central Bank · 5 Bank of Canada · 6 Danmarks Nationalbank · 7 Bank of Korea · 8 Bank of Mexico · 9 Bank of Italy · 10 Office of Financial Research, United States · 11 Banque de France · 12 Central Bank of Brazil · 13 Bank of England

open access

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.

DOI
10.1016/j.jfs.2017.05.012
Volume
35
Pages
107-119
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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