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

Author/Editor:

Luiza Antoun de Almeida

Publication Date:

May 19, 2015

Electronic Access:

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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.

Series:

Working Paper No. 15/111

Subject:

English

Publication Date:

May 19, 2015

ISBN/ISSN:

9781513523101/1018-5941

Stock No:

WPIEA2015111

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

41

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