英文标题：
《Banking Networks and Leverage Dependence: Evidence from Selected
Emerging Countries》
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作者：
Diego Aparicio, Daniel Fraiman
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最新提交年份：
2015
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英文摘要：
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based on the leverage ratio dependence between each pair of banks, and find results that are comparable across countries. Banks present a variety of leverage ratio behaviors. This leverage diversity produces financial networks that exhibit a modular structure characterized by one large bank community, some small ones and isolated banks. There exist compact structures that have synchronized dynamics. Many groups of banks merge together creating a financial network topology that converges to a unique big cluster at a relatively low leverage dependence level. Finally, we propose a model that includes corporate and interbank loans for studying the banking system. This model generates networks similar to the empirical ones. Moreover, we find that faster-growing banks tend to be more highly interconnected between them, and this is also observed in empirical data.
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中文摘要：
我们利用2005年至2010年银行层面的资产负债表数据，研究了五个新兴国家银行体系内部的互动：阿根廷、巴西、墨西哥、南非和台湾。对于每一个国家，我们根据每对银行之间的杠杆比率依赖性构建了一个金融网络，并发现各国的结果具有可比性。银行呈现出多种杠杆比率行为。这种杠杆多样性产生的金融网络呈现出模块化结构，其特征是一个大型银行社区、一些小型银行和孤立的银行。存在具有同步动力学的紧凑结构。许多银行集团合并在一起，形成了一个金融网络拓扑结构，以相对较低的杠杆依赖水平汇聚成一个独特的大集群。最后，我们提出了一个包括企业贷款和银行间贷款的模型来研究银行系统。该模型生成的网络与经验网络类似。此外，我们还发现，增长较快的银行之间的关联性往往更高，这一点在经验数据中也得到了观察。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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