A Network Analysis of Sectoral Accounts: Identifying Sectoral Interlinkages in G-4 Economies

May 19, 2015

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Luiza Antoun de Almeida. A Network Analysis of Sectoral Accounts: Identifying Sectoral Interlinkages in G-4 Economies, (USA: International Monetary Fund, 2015) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using sectoral accounts data in combination with data from the Coordinated Portfolio Investment Survey, International Investment Position, and BIS this paper estimates bilateral exposures between financial and non-financial sectors in three different financial instruments within and across G-4 economies (Euro Area, Japan, U.K. and U.S.). The generated financial networks represent a powerful tool for assessing financial stability, as they allow for the identification of systemically important sectors. The analysis suggests that after the financial crisis bilateral exposures in debt securities have increased, while exposures in loans and equities have declined. Shock simulations reveal that the vulnerability of the financial sector to the government sector has increased considerably since the outbreak of the financial crisis.

Subject: Cross-border effects, Financial crises, Financial institutions, Financial sector policy and analysis, Loans, Securities, Stocks

Keywords: Balance sheet exposures, Cross-border effects, Cross-border exposures, Data Gaps Initiative (DGI), Equity exposure, Euro area MFI, Euro Area MFI, Exposure, Exposures vis-à-vis, Financial crisis exposure, Financial institution, Financial instrument exposure, Financial networks, Financial stability, Global, Loan exposure, Loans, MFI sector, Monetary financial institution, Sectoral accounts, Sectors vis-à-vis, Securities, Stocks, U.K. MFI sector, U.K. OFI, Vis-à-vis GOV, WP

Publication Details

Pages:

41
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2015/111
Stock No:

WPIEA2015111
ISBN:

9781513523101
ISSN:

1018-5941

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