Bank Network Analysis in the ECCU

33 Pages Posted: 1 Aug 2018

See all articles by Balazs Csonto

Balazs Csonto

International Monetary Fund (IMF)

Alejandro Guerson

International Monetary Fund (IMF)

Alla Myrvoda

International Monetary Fund (IMF)

Emefa Sewordor

Georgia State University - Department of Public Administration & Urban Studies

Date Written: July 2018

Abstract

This paper applies network analysis to assess the extent of systemic vulnerabilities in the ECCU banking system. It includes two sets of illustrative stress tests. First, solvency and liquidity shocks to each individual bank and the impact on other banks in the network through their biltareal net asset exposures. Second, country and region-wide tail shocks to GDP affecting capital and liquidity of all banks in the shocked jurisdictions, followed by the rippling effects through the regional network. The results identify systemic institutions that merit hightened attention by the regulator, as determined by the degree of connectivity with the rest of the system, and the extent to which they are vulnerable to the failure of other banks.

Keywords: Financial Surveillance, Network Analysis, Cross-Border Financial Linkages, F34, G21, International Lending and Debt Problems

JEL Classification: F34, G21

Suggested Citation

Csonto, Balazs and Guerson, Alejandro and Myrvoda, Alla and Sewordor, Emefa, Bank Network Analysis in the ECCU (July 2018). IMF Working Paper No. 18/162, Available at SSRN: https://ssrn.com/abstract=3221268

Balazs Csonto (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Alejandro Guerson

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Alla Myrvoda

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Emefa Sewordor

Georgia State University - Department of Public Administration & Urban Studies ( email )

Andrew Young School of Policy Studies
Atlanta, GA 30303-3083
United States

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