6,588
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Systemic risk and macro-financial interconnectedness using an FSAM framework

ORCID Icon, ORCID Icon & ORCID Icon
Pages 479-515 | Received 22 Apr 2020, Published online: 17 Dec 2021

References

  • Achjar, N., Sonis, M., & Hewings, G. J. D. (2006). Structural changes in the Indonesian economy: A network complication approach. Journal of Applied Input–Output Analysis, 11, 91–119.
  • Aldasoro, I., & Angeloni, I. (2015). Input–output-based measures of systemic importance. Quantitative Finance, 15(4), 589–606. doi:10.1080/14697688.2014.968194
  • Amiti, M., & Weinstein, D. E. (2018). How much do idiosyncratic bank shocks affect investment? Evidence from matched bank-firm loan data. Journal of Political Economy, 126(2), 525–587. doi:10.1086/696272
  • Aray, H., Pedauga, L., & Velázquez, A. (2017). Financial Social Accounting Matrix: a useful tool for understanding the macro-financial linkages of an economy. Economic Systems Research, 29(4), 486–508. doi:10.1080/09535314.2017.1365049
  • Banco de España. (2019). Cuentas Financieras de la Economía Española. www.bde.es (observed 5 May 2020).
  • Basel Committee on Banking Supervision. (2011). Global systemically important banks: Assessment methodology and the additional loss absorbency requirement, Bank for International Settlements, Basel, November.
  • Basel Committee on Banking Supervision. (2017a). Standards: Pillar 3 disclosure: requirements – consolidated and enhanced framework. Bank for International Settlements, Basel, March.
  • Basel Committee on Banking Supervision. (2017b). Global systemically important banks - revised assessment framework, Consultative document, Bank for International Settlements, Basel, March.
  • Basel Committee on Banking Supervision. (2018). Global systemically important banks: revised assessment methodology and the higher loss absorbency requirement, Bank of International Settlements, Basel, July.
  • Beck, T. (2020). Finance in times of COVID-19: What next. Mitigating the Covid Economic Crisis: Act Fast and Do Whatever It Takes, edited by R. Baldwin and BW di Mauro, VOXEu. org Book.
  • Bezemer, D. J. (2010). Understanding financial crisis through accounting models. Accounting, Organizations and Society, 35(7), 676–668. doi:10.1016/j.aos.2010.07.002
  • Blank, S., Buch, C. M., & Neugebauer, K. (2009). Shocks at large banks and banking sector distress: The Banking granular residual. Journal of Financial Stability, 5(4), 353–373. doi:10.1016/j.jfs.2008.12.002
  • Borio, C. (2013). The great financial crisis: Setting priorities for new statistics. Journal of Banking Regulation, 14(3–4), 306–317. doi:10.1057/jbr.2013.9
  • Bremus, F., & Buch, C. M. (2017). Granularity in banking and growth: Does financial openness matter? Journal of Banking & Finance, 77, 300–316. doi:10.1016/j.jbankfin.2016.04.023
  • Bremus, F., Buch, C. M., Russ, K. N., & Schnitzer, M. (2018). Big banks and macroeconomic outcomes: Theory and cross-country evidence of granularity. Journal of Money, Credit and Banking, 50(8), 1785–1825. doi:10.1111/jmcb.12545
  • Bucci, A., La Torre, D., Liuzzi, D., & Marsiglio, S. (2019). Financial contagion and economic development: An epidemiological approach. Journal of Economic Behavior & Organization, 162, 211–228. doi:10.1016/j.jebo.2018.12.018
  • Buch, C. M., & Neugebauer, K. (2011). Bank-specific shocks and the real economy. Journal of Banking & Finance, 35(8), 2179–2187. doi:10.1016/j.jbankfin.2011.01.023
  • Burgess, S. (2011). Measuring financial sector output and its contribution to UK GDP. Bank of England Quarterly Bulletin, 51(3), 234–246.
  • Cai, J., & Leung, P. (2004). Linkage measures: A revisit and a suggested alternative. Technology Analysis & Strategic Management, 16(1), 63–83. doi:10.1080/0953531032000164800a
  • Carbó-Valverde, S., Humphrey, D., & Rodríguez, F. (2003). Deregulation, bank competition and regional growth. Regional Studies, 37(3), 227–237. doi:10.1080/0034340032000065398
  • Carbó-Valverde, S., & Rodríguez, F. (2004). The finance-growth nexus: A regional perspective. European Urban and Regional Studies, 11(4), 339–354. doi:10.1177/0969776404046265
  • Cardenete, M., Lima, M., & Sancho, F. (2013). Are there key sectors? An appraisal using applied general equilibrium. Review of Regional Studies, 43(2, 3), 111–129. https:/doi.org/10.52324/001c.8087
  • Cardenete, M., & Sancho, F. (2006). Missing links in key sector analysis. Economic Systems Research, 18(3), 319–325. doi:10.1080/09535310600844409
  • Clements, B. J. (1990). On the decomposition and normalization of interindustry linkages. Economics Letters, 33(4), 337–340. doi:10.1016/0165-1765(90)90084-E
  • Defourny, J., & Thorbecke, E. (1984). Structural path analysis and multiplier decomposition within a social accounting matrix framework. The Economic Journal, 94(373), 111–136. doi:10.2307/2232220
  • Demirgüç-Kunt, A., & Levine, R. (2018). Finance and growth. Edward Elgar Publishing Limited.
  • Demirgüç-Kunt, A., Pedraza, A., & Ruiz Ortega, C. (2020). Banking sector performance during the covid-19 crisis. World Bank Policy Research Working Paper, 9363.
  • Didier, T., Huneeus, F., Larrain, M., & Schmukler, S. L. (2021). Financing firms in hibernation during the COVID-19 pandemic. Journal of Financial Stability, 53, 100837. doi:10.1016/j.jfs.2020.100837
  • Dietzenbacher, E. (2006). Multiplier estimates: To bias or not to bias? Journal of Regional Science, 46(4), 773–786. doi:10.1111/j.1467-9787.2006.00477.x
  • Dietzenbacher, E., & Lahr, M. L. (2013). Expanding extractions. Economic Systems Research, 25(3), 341–360. doi:10.1080/09535314.2013.774266
  • Dietzenbacher, E., van Burken, B., & Kondo, Y. (2019). Hypothetical extractions from a global perspective. Economic Systems Research, 31(4), 505–519. https://doi.org/10.1080/09535314.2018.1564135
  • Dietzenbacher, E., & Van der Linden, J. A. (1997). Sectoral and spatial linkages in the EC production structure. Journal of Regional Science, 37(2), 235–257. doi:10.1111/0022-4146.00053
  • Duffy, J., Karadimitropoulou, A., & Parravano, M. (2019). Financial contagion in the laboratory: Does network structure matter? Journal of Money, Credit and Banking, 51(5), 1097–1136. doi:10.1111/jmcb.12563
  • Emini, C. A., & Fofack, H. (2004). A financial social accounting matrix for the integrated macroeconomic model for poverty analysis: Application to Cameroon with a fixed-price multiplier analysis. Vol. 3219. World Bank Publications.
  • Evans, O., Leone, A. M., Gill, M., & Hilbers, P. (2000). Macroprudential Indicators of Financial System Soundness, IMF Occasional Paper, 192.
  • Fernandez de Guevara, J., & Maudos, J. (2007). Regional financial development and bank competition: effects on economic growth, MPRA Paper 15255, University Library of Munich, Germany.
  • Financial Stability Board. (2018). Global Shadow Banking Monitoring Report 2017. Financial Stability Board: Basel.
  • Freytag, A., & Fricke, S. (2017). Sectoral linkages of financial services as channels of economic development – An input–output analysis of the Nigerian and Kenyan economies. Review of Development Finance, 7(1), 36–44. doi:10.1016/j.rdf.2017.01.004
  • Gabaix, X. (2011). The granular origins of aggregate fluctuations. Econometrica, 79(3), 733–772. doi:10.3982/ECTA8769
  • Guerra, A. I., & Sancho, F. (2010). Measuring energy linkages with the hypothetical extraction method: An application to Spain. Energy Economics, 32(4), 831–837. doi:10.1016/j.eneco.2009.10.017
  • Hanson, K. A., & Robinson, S. (1991). Data, linkages and models: US national income and product accounts in the framework of a social accounting matrix. Economic Systems Research, 3(3), 215–232. doi:10.1080/09535319100000019
  • Harutyunyan, A., & Sánchez, C. (2019). The IMF balance sheet approach: Towards from-whom-to-whom information on cross-border portfolio securities. IFC Bulletins Chapters, 49, 300–317.
  • Hazari, B. R. (1970). Empirical identification of key sectors in the Indian economy. The Review of Economics and Statistics, 52(3), 301–305. doi:10.2307/1926298
  • Heath, R., & Goksu, E. (2016). G-20 Data gaps initiative II: Meeting the policy challenge, IMF Working Paper, WP/16/43.
  • Heath, R., & Goksu, E. (2017). Financial stability analysis: What are the data needs? IMF Working Paper 17/153, International Monetary Fund, Washington, DC.
  • Hirschman, Albert (1958). The strategy of economic development. New Haven, Conn.: Yale Univ. Press.
  • Hubic, A. (2012). A Financial Social Accounting Matrix (SAM) for Luxembourg, Working Paper, 2008–72, Central Bank of Luxembourg.
  • International Monetary Fund & Financial Stability Board. (2009). The financial crisis and information gaps, Report to the G20 Finance Ministers and Central Bank Governors, October.
  • International Monetary Fund & Financial Stability Board. (2015). The Financial Crisis and Information Gaps: Sixth Progress Report on the Implementation of the G-20 Data Gaps Initiative, technical report, September, http://www.fsb.org/wp-content/uploads/The-Financial-Crisis-and-Information-Gaps.pdf.
  • International Monetary Fund & Financial Stability Board. (2018). Implementation and Effects of the G20 Financial Regulatory Reforms: 5th Annual Report. Basel.
  • International Monetary Fund & Financial Stability Board. (2019). G20 Data Gaps Initiative (DGI-2): The Fourth Progress Report - Countdown to 2021. Basel.
  • Jamshidian, M., & Mata, M. (2007). Advances in analysis of mean and covariance structure when data are incomplete. In Handbook of latent variable and related models (pp. 21–44). North-Holland.
  • Jansen, P. (1994). Analysis of multipliers in stochastic input-output models. Regional Science and Urban Economics, 24(1), 55–74. doi:10.1016/0166-0462(94)90019-1
  • Kasinger, J., & Pelizzon, L. (2018). Financial stability in the EU: A case for micro data transparency. SAFE Policy Letter, 67, 1–9.
  • Lenzen, M. (2003). Environmentally important paths, linkages and key sectors in the Australian economy. Structural Change and Economic Dynamics, 14(1), 1–34. doi:10.1016/S0954-349X(02)00025-5
  • Lenzen, M. (2007). Structural path analysis of ecosystem networks. Ecological Modelling, 200(3–4), 334–342. doi:10.1016/j.ecolmodel.2006.07.041
  • Lima, F., & Drumond, I. (2016). How to keep statistics’ customers happy? Use micro-databases!. IFC Bulletin No 41. Bank of International Settlements.
  • Luo, J. (2013). Which industries to bail out first in economic recession? Ranking US industrial sectors by the power-of-pull. Economic Systems Research, 25(2), 157–169. doi:10.1080/09535314.2013.775111
  • Lütkepohl, H. (2008). Impulse response function. In P. Macmillan (Ed.), The New Palgrave dictionary of economics. Palgrave Macmillan. https://doi.org/10.1057/978-1-349-95121-5_2410-1
  • Miller, R. E. (1966). Interregional feedback effects in input-output models: Some preliminary results. Papers of the Regional Science Association, 17(1), 105–125. doi:10.1007/BF01982512
  • Miller, R. E., & Blair, P. D. (2009). Input-output analysis: Foundations and extensions. Cambridge University Press.
  • Miller, R. E., & Lahr, M. L. (2001). A taxonomy of extractions. In M. L. Lahr & R. E. Miller (Eds.), Regional science perspectives in economic analysis – a festschrift in memory of Benjamin H. Stevens (pp. 407–441). North-Holland.
  • Paelinck, J., De Caevel, J., & Degueldre, J. (1965). Analyse quantitative de certaines phénomenes du développment régional polarisé: Essai de simulation statique d’itérarires de propogation. Bibliothèque de L’Institut de Science économique, 7, 341–387.
  • Pedauga, L., Velázquez, A., & Bueno, M. (2018). Property income from-whom-to-whom matrices: A dataset based on financial assets–liabilities stocks of financial instrument for Spain. Data in Brief, 19, 449–455. doi:10.1016/j.dib.2018.05.018
  • Perobelli, F. S., Faria, W. R., & de Almeida Vale, V. (2015). The increase in Brazilian household income and its impact on CO2 emissions: Evidence for 2003 and 2009 from input–output tables. Energy Economics, 52, 228–239. doi:10.1016/j.eneco.2015.10.007
  • Pyatt, G. (1988). A SAM approach to modeling. Journal of Policy Modeling, 10(3), 327–352. doi:10.1016/0161-8938(88)90026-9
  • Rasmussen, N. P. (1956). Studies in intersectoral relations. North Holland Publishing Co.
  • Roland-Holst, D. W., & Sancho, F. (1995). Modeling prices in a SAM structure. The Review of Economics and Statistics, 77(2), 361–371. doi:10.2307/2109871
  • Rueda-Cantuche, J. M., Dietzenbacher, E., Fernández, E., & Amores, A. F. (2013). The bias of the multiplier matrix when supply and use tables are stochastic. Economic Systems Research, 25(4), 435–448. doi:10.1080/09535314.2013.776947
  • Rueda-Cantuche, J. M., Kratena, K., Streicher, G., Neuwahl, F., Mongelli, I., Rueda-Cantuche, J. M., Genty, A., Arto, I., & Andreoni, V. (2012). FIDELIO: A Fully Interregional Dynamic Econometric Long-Term Input-Output Model for the EU, EcoMod2012, N° 4082, EcoMod.
  • Saldías, M. (2011). Sectoral credit risk in the euro area. Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
  • Stock, J. H., & Watson, M. W. (2001). Vector autoregressions. The Journal of Economic Perspectives, 15(4), 101–115. doi:10.1257/jep.15.4.101
  • Strassert, G. (1968). Zur bestimmung strategischer sektoren mit hilfe von input-output-modellen. Jahrbücher für Nationalökonomie und Statistik, 182(1), 211–215. doi:10.1515/jbnst-1968-0114
  • Temursho, U. (2017). Uncertainty treatment in input–output analysis. In Handbook of Input–Output Analysis. Edward Elgar Publishing.
  • Temurshoev, U. (2010). Identifying optimal sector groupings with the hypothetical extraction method. Journal of Regional Science, 50(4), 872–890. doi:10.1111/j.1467-9787.2010.00678.x
  • ten Raa, T. T., & Rueda-Cantuche, J. M. (2007). Stochastic analysis of input–output multipliers on the basis of use and make tables. Review of Income and Wealth, 53(2), 318–334. doi:10.1111/j.1475-4991.2007.00227.x
  • Thorbecke, E. (2000). The use of social accounting matrices in modeling. Paper presented at the 26th General conference of the international association for research in income and wealth, Krakow, Poland, August 27–September 2, 2000.
  • Tissot, B. (2016). Closing information gaps at the global level – what micro data can bring, IFC Bulletin, no 41, May.
  • Tsujimura, K., & Tsujimura, M. (2010). A flow-of-funds analysis of quantitative monetary policy. In S. Ichimura, & L. R. Klein (Eds.), Macroeconometric analysis of Japan (pp. 173–193). World Scientific.
  • United Nations, Commission of the European Communities, International Monetary Fund, Organization for Economic Co-operation & Development and World Bank. (2008). System of National Accounts 2008. World Bank.
  • van de Ven, P., & Fano, D. (2017). Understanding financial accounts. OECD Publishing.
  • Welch, B. L. (1947). The generalization of student’s problem when several different population variances are involved. Biometrika, 34(1–2), 28–35. https://doi.org/10.1093/biomet/34.1-2.28
  • Wood, R., & Lenzen, M. (2009). Structural path decomposition. Energy Economics, 31(3), 335–341. doi:10.1016/j.eneco.2008.11.003
  • Zhao, Y., Wang, S., Liu, Y., Zhang, Z., Zhang, Y., & Li, H. (2017). Identifying the economic and environmental impacts of China's trade in intermediates within the Asia-pacific region. Journal of Cleaner Production, 149, 164–179. doi:10.1016/j.jclepro.2017.02.085