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Evolution of the Global Financial Network and Contagion: A New Approach

IMF 2018.06.04
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This paper studies the interconnectedness of the global financial system and its susceptibility to shocks. A novel multilayer network framework is applied to link debt and equity exposures across countries. Use of this approach―that examines simultaneously multiple channels of transmission and their important higher order effects―shows that ignoring the heterogeneity of financial exposures, and simply aggregating all claims, as often done in other studies, can underestimate the extent and effects of financial contagion.The structure of the global financial network has changed since the global financial crisis, impacted by European bank’s deleveraging and higher corporate debt issuance. Still, we find that the structure of he system and contagion remain similar in that network is highly usceptible to shocks from central countries and those with large inancial systems (e.g., the USA and the UK). While, individual uropean countries (excluding the UK) have relatively low impact on hock propagation, the network is highly susceptible to the shocks rom the entire euro area. Another important development is the rising role of the Asian countries and the noticeable increase in network susceptibility to shocks from China and Hong Kong SAR economies.

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