The leverage game.
Date
2011
Authors
Aparicio, Diego H.
relationships.isContributorOfPublication
Fraiman, Daniel
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
This study uses individual bank’s balance sheet data from Argentina, Brazil, Mexico,
South Africa, and Taiwan, to obtain cross-correlations over the time-series leverage
ratio. A correlation-based filtering procedure is then implemented to obtain leveragebased
networks. Results conclude that topological properties from graph theory describe
a surprising similar pattern inside the network between countries. These leverage
networks are complex and are characterized by heavy-tailed vertex degree distribution,
which reveals the emergence of hubs and suggests the potential scale-free
nature of the system. Finally, surrogated Monte Carlo simulations confirm that the
complex networks, obtained through the filtering procedure, cannot be explained by
chance alone.
Description
Fil: Aparicio, Diego H.. Universidad de San Andrés. Departamento de Economía; Argentina.
Keywords
Banks and banking -- Accounting -- Mathematical models. , LinkFinancial statements -- Mathematical models. , Bancos -- Contabilidad -- Modelos matemáticos. , Estados financieros -- Modelos matemáticos.