Network centrality measures and systemic risk: An application to the Turkish financial crisis
Physica A: Statistical Mechanics and its Applications, cilt.405, ss.203-215, 2014 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 405
- Basım Tarihi: 2014
- Doi Numarası: 10.1016/j.physa.2014.03.006
- Dergi Adı: Physica A: Statistical Mechanics and its Applications
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.203-215
- Anahtar Kelimeler: Systemic risk, Network centrality measures, Systemically important financial institutions, Turkey financial crisis in 2000
- Boğaziçi Üniversitesi Adresli: Evet
Özet
In this paper, we analyze the performance of several network centrality measures in detecting systemically important financial institutions (SIFI) using data from the Turkish Interbank market during the financial crisis in 2000. We employ various network investigation tools such as volume, transactions, links, connectivity and reciprocity to gain a clearer picture of the network topology of the interbank market. We study the main borrower role of Demirbank in the crash of the banking system with network centrality measures which are extensively used in the network theory. This ex-post analysis of the crisis shows that centrality measures perform well in identifying and monitoring systemically important financial institutions which provide useful insights for financial regulations. © 2014 Elsevier B.V. All rights reserved.