An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk

Bank of Mexico Working Paper No. 2012-07

49 Pages Posted: 2 Sep 2012 Last revised: 4 Sep 2012

Date Written: August 31, 2012

Abstract

With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectednessis also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehman's failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size.

Keywords: Systemic risk, financial contagion, financial networks

JEL Classification: C01, C02, C44, C63, G21

Suggested Citation

Martinez Jaramillo, Serafin and Alexandrova-Kabadjova, Biliana and Bravo-Benitez, Bernardo and Solorzano-Margain, Juan, An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk (August 31, 2012). Bank of Mexico Working Paper No. 2012-07, Available at SSRN: https://ssrn.com/abstract=2140144 or http://dx.doi.org/10.2139/ssrn.2140144

Serafin Martinez Jaramillo (Contact Author)

Bank of Mexico ( email )

Av. 5 de Mayo # 1
Colonia Centro
Mexico City, D. F. 06059
Mexico

Biliana Alexandrova-Kabadjova

Bank of Mexico ( email )

Av. 5 de Mayo 6
Piso 7
Mexico City
Mexico

Bernardo Bravo-Benitez

Bank of Mexico

Av. 5 de Mayo 6
Piso 7 Col. Centro
Mexico City, 06059
Mexico

Juan Solorzano-Margain

Bank of Mexico ( email )

Av. 5 de Mayo 18
Piso 4
Mexico City, 06059
Mexico

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