期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：Research on interbank networks and systemic importance is starting to recognise that theweb of exposures linking banks balance sheets is more complex than the single-layer-of-exposureapproach. We use data on exposures between large European banks broken down by bothmaturity and instrument type to characterise the main features of the multiplex structure ofthe network of large European banks. This multiplex network presents positive correlatedmultiplexity and a high similarity between layers, stemming both from standard similarityanalyses as well as a core-periphery analyses of the different layers. We propose measures ofsystemic importance that fit the case in which banks are connected through an arbitrary numberof layers (be it by instrument, maturity or a combination of both). Such measures allow fora decomposition of the global systemic importance index for any bank into the contributionsof each of the sub-networks, providing a useful tool for banking regulators and supervisorsin identifying tailored policy instruments. We use the dataset of exposures between largeEuropean banks to illustrate that both the methodology and the specific level of networkaggregation matter in the determination of interconnectedness and thus in the policy makingprocess
