An empirical study of the Mexican banking system’s network and its implications for systemic risk |
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| Institution: | 1. Banco de México, Dirección General de Estabilidad Financiera, México;2. Banco de México, Dirección General de Sistemas de Pagos y Servicios Corporativos, México;1. Deutsche Bundesbank, Wilhelm-Epstein-Strasse, D-60431 Frankfurt, Germany;2. Federal Reserve Bank of Cleveland, United States;3. European Business School, Germany;4. Bank for International Settlements, Centralbahnplatz, CH-4002 Basel, Switzerland;1. Columbia Business School, Columbia University, United States;2. Department of Economics, University of Oxford, United Kingdom;3. Institute for New Economic Thinking, Oxford Martin School, United Kingdom;4. Office of Financial Research, U.S. Treasury, United States;1. Goethe University Frankfurt & Bundesbank Research Centre, Germany;2. European Central Bank, Germany;1. Bank for International Settlements, Switzerland;2. Catholic University of Milan, Largo Gemelli 1, 20123 Milan, Italy;3. Goethe University Frankfurt & CEPR, Germany;1. Centre for Risk Studies, Cambridge Judge Business School, University of Cambridge, Trumpington St, Cambridge CB2 1AG, UK;2. Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA;3. University of New Mexico, Albuquerque, NM 87131, USA;4. Institute of New Economic Thinking and Mathematical Institute, 24-29 St. Giles, University of Oxford, Oxford OX1 3LB, UK;1. CeNDEF, Department of Quantitative Economics, University of Amsterdam, Valckeniersstraat 65-67, 1018 XE Amsterdam, The Netherlands;2. De Nederlandsche Bank, PO Box 98, 1000 AB Amsterdam, The Netherlands |
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| Abstract: | With the aim to measure and monitor systemic risk, we present some topological metrics for the interbank exposures and the payments system networks. The evolution of such networks is analyzed, we draw important conclusions from the systemic risk's perspective and propose a measure of interconnectedness. Additionally, we suggest non-topological measures to describe individual behavior of banks in both networks. The main findings of this paper are: the structures of the payments and exposures networks are different (in terms of connectivity); the topology of the exposures network changed after the collapse of Lehman Brothers, whereas the structure of the payments network does not; the proposed measure of interconnectedness can be used to determine the importance of a bank in terms of connectivity. Finally, we found that interconnectedness of a bank is not necessarily related with its assets size but it is linked to the contagion it might cause. |
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| Keywords: | Systemic risk Financial networks Payment systems Interbank market |
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