An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size. Keywords: Systemic risk, financial networks, payment systems. JEL Classification: C01, C02, C44, C63, G21. Terms of use: Documents inResumen: Con el propósito de medir y monitorear el riesgo sistémico, se estudian algunas propiedades topológicas de las redes de exposiciones interbancarias y del sistema de pagos. Proponemos medidas no topológicas que sonútiles para describir el comportamiento individual de los bancos en ambas redes. La evolución de dichas redes también es estudiada y se extraen algunas conclusiones importantes desde la perspectiva del riesgo sistémico. También se crea una medida unificada de interconectividad. Los resultados principales de este estudio son: la red del sistema de pagos está fuertemente conectada en contraste con la red de exposiciones interbancarias; el tipo de exposiciones y el tamaño de los pagos revelan diferentes roles desempeñados por los bancos; el comportamiento de los bancos en la red de exposiciones cambió considerablemente después de la caída de Lehman; la interconectividad de un banco, estimada con la medida unificada, no necesariamente está relacionada con el tamaño de sus activos. Palabras Clave: Riesgo sistémico, redes financieras, sistemas de pagos.

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

“…Many major individual financial markets around the world have also been studied in network approach, such as US [62,63], China [64][65][66], Germany [67,68], EU [69][70][71], Brazil [33,72], Italian [53,56], Korea [73], Russia [74], and Mexico [36,75]. Furthermore, there is literature focusing on the cross-board global markets [76,77].…”

Integration Among US Banks

“…For example, among early applications, Boss et al (2004) study the Austrian interbank network topology; and Leitner (2005) models financial networks with the possibility of private bailouts. Among notable works in the recent past, Rogers and Veraart (2013) study interbank obligations by means of directed networks; Langfield et al (2014) construct networks of the interbank exposures and interbank funding for the UK and discuss their implications for stability; -Jaramillo et al (2014) explicate the structure of the empirical Mexican banking network; Elliott et al (2014) study cascades of failures in networks of financial organizations; and finally in a noteworthy paper, Acemoglu et al (2015) show that densely connected networks are more resilient to small shocks but may suffer from high fragility in case of large shocks. Among recent surveys, Hüser (2015) is a comprehensive review of interbank networks.…”

Currents of Liquidity Flows Created by the Different Type of Payments: the Case of SPEI

“…Martinez‐Jaramillo, Alexandrova‐Kabadjova, Bravo‐Benitez, and Solorzano‐Margain () provide an empirical study of the Mexican banking system's network and its implications for systemic risk. To measure and monitor systemic risk in the Mexican banking system, they present topological metrics for the interbank exposures and the payment system network.…”

“…Notice that direct participants in SIAC are allowed only to make fund transfers to SPEI®, which in turn could be used as a connecting point to DALÍ. Through these liquidity channels, the central bank gives shape to a complex interaction structure for more detailed network studies refer to Martinez‐Jaramillo et al ., ; Bravo‐Benitez et al ., ; Alexandrova‐Kabadjova et al ., 2015).…”