Systemic risk and macro-financial interconnectedness using an FSAM framework

Figures & data

TABLE 1. Intermediation consumption used by sector from non-financial activities and financial activities.

Industry (ISIC-Division) and selected sistemically financial institutions			Intermediate Consumption composition by Industry (ISIC – Division)
			A	B,D-E	C	F	G-I	J	K.2	L	M-N	O-Q	R-U	K.1
Non Financial activities (A to U)	A	Agriculture, forestry and fishing	9.14	0.08	8.62	0.02	0.52	0.00	0.00	0.00	0.13	0.68	0.14	0.00
	B,D-E	Mining	6.16	46.39	11.64	2.64	6.32	3.67	0.09	5.49	2.24	6.39	5.70	0.21
	C	Manufacturing	52.89	22.45	50.26	32.84	22.21	14.11	2.74	1.09	13.41	24.26	9.49	3.97
	F	Construction	1.66	1.62	0.69	30.17	2.22	1.97	0.68	22.50	1.42	2.46	1.46	0.92
	G-I	Wholesale and retail trade	22.31	14.34	18.48	12.35	32.69	11.19	4.05	6.38	18.76	16.45	11.37	5.42
	J	Information and communication	0.12	2.63	0.90	2.05	2.64	28.91	4.08	3.60	3.69	6.93	3.84	6.47
	K.2	Insurance activities	2.43	0.41	0.28	0.35	1.14	0.92	57.43	13.34	1.08	0.76	0.96	2.56
	L	Real estate activities	0.01	1.14	0.71	1.21	8.63	6.14	4.25	4.25	4.99	3.69	8.70	10.18
	M-N	Professional and business services	2.16	8.00	6.40	15.89	18.12	25.11	15.54	21.52	45.93	20.41	24.02	21.09
	O-Q	Public administration and defence	0.26	0.95	0.42	0.68	1.86	2.96	0.26	0.45	1.45	9.39	3.24	0.61
	R-U	Other services	0.28	0.80	0.55	0.07	1.53	3.06	0.61	1.28	4.39	2.64	28.03	1.33
		Sub-total	97.43	98.82	98.94	98.25	97.89	98.03	89.72	79.89	97.48	94.06	96.96	52.78
Financial activities (K.1)	G-SIB	Bank-1	0.38	0.17	0.09	0.20	0.19	0.33	1.51	5.64	0.33	1.33	0.44	1.70
		Bank-2	0.28	0.16	0.19	0.20	0.29	0.35	2.01	1.51	0.49	1.29	0.55	2.60
	O-SII	Bank-3	0.29	0.14	0.14	0.45	0.48	0.37	1.39	3.01	0.47	0.29	0.46	0.77
		Bank-4	0.14	0.15	0.08	0.11	0.24	0.16	0.71	2.35	0.21	0.14	0.23	0.44
		Bank-5	0.07	0.07	0.04	0.07	0.07	0.13	0.39	0.50	0.12	0.57	0.14	2.97
		Bank-6	0.03	0.02	0.02	0.03	0.03	0.04	0.24	0.19	0.04	0.10	0.06	2.26
		Rest of banks	1.39	0.47	0.50	0.69	0.79	0.60	4.03	6.92	0.86	2.21	1.15	36.49
		Sub-total	2.57	1.18	1.06	1.75	2.11	1.97	10.28	20.11	2.52	5.94	3.04	47.22
Total Intermediate Consumption (%)			100	100	100	100	100	100	100	100	100	100	100	100

TABLE 2. Concentration and market share by industry (selected systemically important institutions).

		Market Share
		Global systemically important Banks (G-SIB's)		Other systemically important institutions (O-SII's)				Market Concentration
Industry (ISIC-Division)		Bank-1	Bank-2	Bank-3	Bank-4	Bank-5	Bank-6	C2	C5	C10	HHI
A	Agriculture, forestry and fishing	14.77	10.75	11.40	5.31	2.60	1.16	26.17	44.83	56.17	2118.58
B,D-E	Mining	14.57	13.71	11.68	12.77	6.13	1.51	28.28	58.86	69.43	1502.27
C	Manufacturing	8.52	17.54	13.37	7.80	4.03	1.50	30.91	51.26	63.89	1717.78
F	Construction	11.51	11.44	25.85	6.33	3.95	1.72	37.36	59.09	69.05	1752.50
G-I	Wholesale and retail trade	9.24	13.91	22.57	11.57	3.51	1.51	36.48	60.80	69.95	1646.15
J	Information and communication	16.51	17.80	18.60	7.98	6.65	1.93	36.40	67.54	77.20	1432.44
K.2	Insurance activities	14.73	19.58	13.47	6.87	3.82	2.37	34.31	58.48	69.48	1576.89
L	Real estate activities	28.03	7.49	14.96	11.67	2.50	0.92	42.99	64.65	72.50	1806.58
M-N	Professional and business services	13.24	19.29	18.76	8.30	4.79	1.54	38.05	64.37	73.75	1522.31
O-Q	Public administration and defence	22.43	21.79	4.87	2.35	9.65	1.63	44.23	61.09	70.39	1804.37
R-U	Other services	14.60	18.19	14.99	7.71	4.76	1.82	33.18	60.26	70.02	1562.05

TABLE 3. Credit exposure by industry based on the intermediate consumption (selected systemically important institutions).

		Global systemically important Banks (G-SIB's)		Other systemically important institutions (O-SII's)
Activities (ISIC-Division)		Bank-1	Bank-2	Bank-3	Bank-4	Bank-5	Bank-6
A	Agriculture, forestry and fishing	2.76	1.98	2.16	1.87	1.58	2.19
B,D-E	Mining	2.79	2.59	2.27	4.62	3.82	2.93
C	Manufacturing	9.07	18.46	14.42	15.70	13.94	16.24
F	Construction	3.98	3.91	9.06	4.14	4.45	6.02
G-I	Wholesale and retail trade	11.75	17.48	29.07	27.80	14.50	19.45
J	Information and communication	4.02	4.28	4.58	3.67	5.26	4.75
K.2	Insurance activities	6.89	9.05	6.38	6.07	5.82	11.22
L	Real estate activities	26.23	6.92	14.18	20.62	7.61	8.76
M-N	Professional and business services	7.06	10.17	10.14	8.37	8.31	8.31
O-Q	Public administration and defence	22.83	21.92	5.02	4.51	31.94	16.82
R-U	Other services	2.62	3.23	2.73	2.62	2.78	3.31
	Total by bank	100	100	100	100	100	100

FIGURE 1. Structural analysis classification: Forward Linkages (absorption effects) and Backward Linkages (diffusion effects).

Source: Own elaboration.

TABLE 4. Percentage value added losses for all sectors due to partial hypothetical extraction of financial sectors (selected systemically important institutions).

		Global systemically important Banks (G-SIB's)		Other systemically important institutions (O-SII's)
Industry (ISIC-Division)		Bank-1	Bank-2	Bank-3	Bank-4	Bank-5	Bank-6
A	Agriculture, forestry and fishing	0.599	0.572	0.422	0.203	0.183	0.101
B,D-E	Mining	0.663	0.639	0.464	0.229	0.201	0.111
C	Manufacturing	0.612	0.580	0.415	0.205	0.184	0.104
F	Construction	1.171	1.063	0.749	0.361	0.348	0.207
G-I	Wholesale and retail trade	0.597	0.577	0.417	0.207	0.181	0.099
J	Information and communication	0.910	0.865	0.550	0.301	0.256	0.154
K.2	Insurance activities	1.014	1.007	0.666	0.365	0.291	0.164
L	Real estate activities	1.023	1.010	0.706	0.367	0.304	0.167
M-N	Professional and business services	0.946	0.916	0.543	0.323	0.255	0.157
O-Q	Public administration and defence	0.210	0.206	0.156	0.075	0.066	0.035
R-U	Other services	0.814	0.799	0.593	0.291	0.251	0.134
K.1	Financial activities	19.972	20.294	14.178	7.254	6.579	3.420
Total Value Added	Median (% loss)	1.160	1.097	0.834	0.389	0.362	0.198
	Standard deviation	0.017	0.019	0.019	0.011	0.007	0.002
	Shapiro-Wilk test (p-value)	0.092	0.423	0.419	0.581	0.858	0.176

Note: From the Shapiro-Wilk normality test, the p-value > 0.05 implying that the distribution of the data are not significantly different from normal distribution. In other words, we can assume the normality.

FIGURE 2. Percentage value added losses for all sectors due to partial hypothetical extraction of financial sectors.

FIGURE 3. Structural Path Analysis from industry (isic-division) and the effects on selected systemically important institutions.

Source: Own elaboration.

FIGURE 4. Structural Path Analysis from selected systemically important institutions and the effects on industry (isic-division).

Source: Own elaboration.

TABLE 5. Structural path analysis decomposition selected sector: real state.

	Shock from: Real estate activities
	Bank-1			Bank-2			Bank-3			Bank-4			Bank-5			Bank-6
Path lenght	IO	SAM	FSAM	IO	SAM	FSAM	IO	SAM	FSAM	IO	SAM	FSAM	IO	SAM	FSAM	IO	SAM	FSAM
1	–	–	–	–	–	–	–	–	–	–	–	–	–	–	–	–	–	–
2	43.54	–	–	19.15	–	–	36.24	–	–	46.38	–	–	18.07	–	–	13.16	–	–
3	3.10	7.27	–	7.93	8.06	–	5.71	4.13	–	4.85	2.84	–	4.69	10.16	–	3.46	14.34	–
4	0.96	6.06	–	2.06	7.23	–	1.51	5.84	–	1.39	5.40	–	1.54	8.22	–	1.13	9.18	–
5	0.34	3.95	0.00	0.72	5.97	–	0.57	5.72	0.01	0.53	4.78	0.01	0.57	5.87	0.00	0.41	5.31	0.00
6	0.13	4.11	0.13	0.28	5.72	0.01	0.22	4.16	0.30	0.21	3.47	0.19	0.22	6.07	0.20	0.16	6.76	0.14
7	0.06	3.65	0.27	0.11	4.85	0.21	0.09	3.79	0.45	0.09	3.34	0.31	0.09	5.22	0.40	0.06	5.64	0.37
8	0.02	2.77	0.38	0.05	3.81	0.42	0.04	3.03	0.57	0.04	2.68	0.42	0.04	4.01	0.57	0.03	4.21	0.54
9	0.01	2.20	0.45	0.02	3.02	0.57	0.02	2.34	0.66	0.02	2.06	0.50	0.02	3.19	0.67	0.01	3.41	0.64
10	0.00	1.72	0.51	0.01	2.36	0.67	0.01	1.85	0.72	0.01	1.64	0.55	0.01	2.49	0.75	0.00	2.64	0.73
11	0.00	1.34	0.55	0.00	1.85	0.75	0.00	1.45	0.76	0.00	1.28	0.59	0.00	1.94	0.82	0.00	2.05	0.81
12	0.00	1.06	0.58	0.00	1.46	0.81	0.00	1.14	0.78	0.00	1.00	0.61	0.00	1.53	0.86	0.00	1.63	0.86
13	0.00	0.83	0.60	0.00	1.15	0.85	0.00	0.90	0.79	0.00	0.79	0.62	0.00	1.21	0.89	0.00	1.28	0.88
14	0.00	0.65	0.60	0.00	0.90	0.87	0.00	0.70	0.79	0.00	0.62	0.63	0.00	0.95	0.89	0.00	1.00	0.89
15	0.00	0.51	0.60	0.00	0.71	0.88	0.00	0.55	0.77	0.00	0.49	0.62	0.00	0.74	0.89	0.00	0.79	0.89
Total	48.2	38.0	13.8	30.3	49.7	20.0	44.4	37.6	18.0	53.5	32.2	14.3	25.2	54.3	20.4	18.4	61.1	20.5