Öz
Kaynakça
- Acemoğlu, D., Ozdaglar, A., Salehi, A. 2015, “Systemic Risk and Stability in Financial Networks”, American Economic Review, vol. 105, no. 2, pp. 564-608.
- Allen, F., Gale, D. 2000, “Financial Contagion”, The Journal of Political Economy, vol. 108, no. 1, pp. 1-33.
- Alves, I. et al. 2013, “The Structure and Resilience of the European Interbank Market”, ESRB Occasional Paper Series, No:3, pp. 1-43.
- Bandt, O., Heam, J.C., Labonne, C., Tavolaro, S. 2013, “Measuring Systemic Risk in a Post-crisis World”, ACP Banque de France, Débats économiques et financiers, no. 6,
- Barabasi, A., Albert, R. “Emergence of Scaling in Random Networks”, http://snap.stanford.edu/class/cs224wreadings/barabasi99scaling.pdf, (13.03.2016).
- Barrat, A., Barthelemy, M., Vespignani, A. 2004, “Traffic-Driven Model of the World Wide Web Graph”, Algorithms and Models for the Web-Graph, Third International Workshop, ed. Stefano Leonardi (Springer).
- Battiston, S., Caldarelli, G., “Systemic Risk in Financial Networks”, Journal of Financial Management Markets and Institutions, vol. 1, no. 2, pp. 129-154.
- Caldarelli, G. “Lectures in complex networks”, http://www.ifr.ac.uk/netsci08/Download/Invited/ws1_Caldarelli.pdf .
- Chinazzi, M., Fagiolo, G., Reyes, J., Schiavo, S. 2012, “Post-Mortem Examination of the International Financial Network”, University of Trento Department of Economics, no. 02/2012.
- Csardi, G., Package ‘igraph’, https://cran.r-project.org/web/packages/igraph/igraph.pdf .
- Decarlo, L. 1997, “On the Meaning and the Use of Kurtosis”, Psychological Methods, vol. 2, no.3, 1997, pp. 292-307.
- Estrada, E. 2015, “Introduction to Complex Networks: Structure and Dynamics”, Evolutionary Equations with Applications in Natural Sciences, Lecture Notes in Mathematics 2126, J. Banasiak, M. Mokhtar-Kharroubi (eds.), Springer International Publishing Switzerland.
- Fagiolo, G., Reyes, J., Schiavo, S. 2010, “The Evolution of the World Trade Web: A Weighted-Network Analysis”. Journal of Evolutionary Economics. c.20, s. 4, pp. 479-514.
- Fuge, M., Tee, K., Agogino, A. “Network Analysis of Collaborative Design Networks: A Case Study of OpenIDEO”, http://www.markfuge.com/papers/fuge_tee_openideo_jcise_final_2013.pdf, 14.03.2016.
- Hein, O., Schwind, M., König, W.2006, “Scale-Free Networks – The Impact of Fat Tailed Degree Distribution on Diffusion and Communication Processes”, Wirtschaftsinformatik, vol.48, 267–275.
- Howell, A. 2012, “Network statistics and modeling the global trade economy: exponential random graph models and latent space models: is geography dead?”, University of California, unpublished thesis.
- Kleinberg, J. M. 1999, “Authoritative Sources in a Hyperlinked Environment”, Journal of the ACM, c. 46, pp. 604-632.
- Knorn, F. 2005, “Ranking and importance in complex networks”, http://www.hamilton.ie/publications/Studienarbeit_Florian_Knorn__screen.pdf .
- Kolaczyk, E.D. 2009, Statistical Analysis of Network Data Methods and Models, Springer.
- Krause, A., Giansante, s. 2012, “Interbank lending and the spread of bank failures: A network model of systemic risk”, Journal of Economic Behavior & Organization, vol. 83, pp. 583-608.
- Leon, C. Perez, J. 2013, “Authority Centrality and Hub Centrality as Metrics of Systemic Importance of Financial Market Infrastructure”, Borradores de Economia, No: 754.
- Leon, C., Berndsen, R.J. 2014, “Rethinking financial stability: Challenges arising from financial networks’ modular scale-free architecture”, Journal of Financial Stability, vol. 15, pp. 241-256.
- Leon Rincon, C.E., Machado, C., Sarmiento Paipilla M. 2015, “Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks”, EBC Discussion Paper, vol. 2015-010.
- Lovric, M.2010, “Skewness”, International Encyclopedia of Statistical Science, Springer: New York.
- Markose, S., Giansante, S., Gatkowski, M., Shaghaghi, A. 2010, “Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks”, University of Essex Discussion Paper Series, no. 683, pp.159.
- Markose, S. 2012, “Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax”, IMF Working Paper, no. 12/282.
- Markose, S. 2013, “Systemic Risk Analytics: A Data Driven Multi-Agent Financial Network (MAFN) Approach, pp.1-29.
- Mitchell, M. 2009, Complexity A Guided Tour, Oxford University Press.
- Newman, M.E.J., “Mixing Patterns in Network”, http://arxiv.org/pdf/cond-mat/0209450v2.pdf .
- Newman, M.E.J. 2010, Networks An Introduction. 1st pr. Oxford University Press.
- OECD. 2009, “Applications of Complexity Science for Public Policy- New Tools for Finding Unanticipated Consequences and Unrealized Opportunities”.
- Reichardt, J. 2009, “Introduction to Complex Networks”, Structure in Complex Networks Lecture Notes in Physics, s. 766,(Springer-Verlag Berlin Heidelberg).
- Serrano, M.A., Boguna, M. 2006,“Clustering in Complex Networks: General Formalism”, Physical Reiew E, 74, 056114.
Öz
In today’s
globalized world, economic activities are performed beyond the physical
boundaries of countries. It can be seen as increasing activities such as trade
of goods, financial flows and trade of intermediate goods. Network analysis,
that has been used to analyze formations of complex systems recently, is
frequently used to investigate these global economic relations. In this
context, international trade networks, financial networks and global production
networks (input-output networks) are some of the fields that are analyzed in an
interdisciplinary way. In this study, it is aimed to analyze interbank
cross-border flows at country-level by applying network analysis. Thus, we
expect to investigate the systemic importance and vulnerabilities of countries
in international banking sector by applying HITs algorithm from 2006 to 2015.
HITs algorithm has an advantage since it takes second order adjacencies of
countries into consideration. As a consequence of the analysis, it will be
possible to see the effects of global and Eurozone crises on systemic
importance and vulnerabilities of countries.
Anahtar Kelimeler
Financial crises international financial network network analysis international financial markets interbank flows
Kaynakça
- Acemoğlu, D., Ozdaglar, A., Salehi, A. 2015, “Systemic Risk and Stability in Financial Networks”, American Economic Review, vol. 105, no. 2, pp. 564-608.
- Allen, F., Gale, D. 2000, “Financial Contagion”, The Journal of Political Economy, vol. 108, no. 1, pp. 1-33.
- Alves, I. et al. 2013, “The Structure and Resilience of the European Interbank Market”, ESRB Occasional Paper Series, No:3, pp. 1-43.
- Bandt, O., Heam, J.C., Labonne, C., Tavolaro, S. 2013, “Measuring Systemic Risk in a Post-crisis World”, ACP Banque de France, Débats économiques et financiers, no. 6,
- Barabasi, A., Albert, R. “Emergence of Scaling in Random Networks”, http://snap.stanford.edu/class/cs224wreadings/barabasi99scaling.pdf, (13.03.2016).
- Barrat, A., Barthelemy, M., Vespignani, A. 2004, “Traffic-Driven Model of the World Wide Web Graph”, Algorithms and Models for the Web-Graph, Third International Workshop, ed. Stefano Leonardi (Springer).
- Battiston, S., Caldarelli, G., “Systemic Risk in Financial Networks”, Journal of Financial Management Markets and Institutions, vol. 1, no. 2, pp. 129-154.
- Caldarelli, G. “Lectures in complex networks”, http://www.ifr.ac.uk/netsci08/Download/Invited/ws1_Caldarelli.pdf .
- Chinazzi, M., Fagiolo, G., Reyes, J., Schiavo, S. 2012, “Post-Mortem Examination of the International Financial Network”, University of Trento Department of Economics, no. 02/2012.
- Csardi, G., Package ‘igraph’, https://cran.r-project.org/web/packages/igraph/igraph.pdf .
- Decarlo, L. 1997, “On the Meaning and the Use of Kurtosis”, Psychological Methods, vol. 2, no.3, 1997, pp. 292-307.
- Estrada, E. 2015, “Introduction to Complex Networks: Structure and Dynamics”, Evolutionary Equations with Applications in Natural Sciences, Lecture Notes in Mathematics 2126, J. Banasiak, M. Mokhtar-Kharroubi (eds.), Springer International Publishing Switzerland.
- Fagiolo, G., Reyes, J., Schiavo, S. 2010, “The Evolution of the World Trade Web: A Weighted-Network Analysis”. Journal of Evolutionary Economics. c.20, s. 4, pp. 479-514.
- Fuge, M., Tee, K., Agogino, A. “Network Analysis of Collaborative Design Networks: A Case Study of OpenIDEO”, http://www.markfuge.com/papers/fuge_tee_openideo_jcise_final_2013.pdf, 14.03.2016.
- Hein, O., Schwind, M., König, W.2006, “Scale-Free Networks – The Impact of Fat Tailed Degree Distribution on Diffusion and Communication Processes”, Wirtschaftsinformatik, vol.48, 267–275.
- Howell, A. 2012, “Network statistics and modeling the global trade economy: exponential random graph models and latent space models: is geography dead?”, University of California, unpublished thesis.
- Kleinberg, J. M. 1999, “Authoritative Sources in a Hyperlinked Environment”, Journal of the ACM, c. 46, pp. 604-632.
- Knorn, F. 2005, “Ranking and importance in complex networks”, http://www.hamilton.ie/publications/Studienarbeit_Florian_Knorn__screen.pdf .
- Kolaczyk, E.D. 2009, Statistical Analysis of Network Data Methods and Models, Springer.
- Krause, A., Giansante, s. 2012, “Interbank lending and the spread of bank failures: A network model of systemic risk”, Journal of Economic Behavior & Organization, vol. 83, pp. 583-608.
- Leon, C. Perez, J. 2013, “Authority Centrality and Hub Centrality as Metrics of Systemic Importance of Financial Market Infrastructure”, Borradores de Economia, No: 754.
- Leon, C., Berndsen, R.J. 2014, “Rethinking financial stability: Challenges arising from financial networks’ modular scale-free architecture”, Journal of Financial Stability, vol. 15, pp. 241-256.
- Leon Rincon, C.E., Machado, C., Sarmiento Paipilla M. 2015, “Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks”, EBC Discussion Paper, vol. 2015-010.
- Lovric, M.2010, “Skewness”, International Encyclopedia of Statistical Science, Springer: New York.
- Markose, S., Giansante, S., Gatkowski, M., Shaghaghi, A. 2010, “Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks”, University of Essex Discussion Paper Series, no. 683, pp.159.
- Markose, S. 2012, “Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax”, IMF Working Paper, no. 12/282.
- Markose, S. 2013, “Systemic Risk Analytics: A Data Driven Multi-Agent Financial Network (MAFN) Approach, pp.1-29.
- Mitchell, M. 2009, Complexity A Guided Tour, Oxford University Press.
- Newman, M.E.J., “Mixing Patterns in Network”, http://arxiv.org/pdf/cond-mat/0209450v2.pdf .
- Newman, M.E.J. 2010, Networks An Introduction. 1st pr. Oxford University Press.
- OECD. 2009, “Applications of Complexity Science for Public Policy- New Tools for Finding Unanticipated Consequences and Unrealized Opportunities”.
- Reichardt, J. 2009, “Introduction to Complex Networks”, Structure in Complex Networks Lecture Notes in Physics, s. 766,(Springer-Verlag Berlin Heidelberg).
- Serrano, M.A., Boguna, M. 2006,“Clustering in Complex Networks: General Formalism”, Physical Reiew E, 74, 056114.
Ayrıntılar
| Bölüm | Makaleler |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2017 |
| Yayımlandığı Sayı | Yıl 2017 Cilt: 4 Sayı: 1 |
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