文章基本信息

标题：Cross-border Portfolio Investment Networks and Indicators for Financial Crises
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作者：Andreas C. Joseph ; Stephan E. Joseph ; Guanrong Chen 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2014
卷号：4
DOI：10.1038/srep03991
出版社：Springer Nature
摘要：Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial system and the interdependence of financial markets, respectively. Two early-warning indicators for financial crises are identified: First, the algebraic connectivity of the equity securities network, as a measure for structural robustness, drops close to zero already in 2005, while there is an over-representation of high-degree off-shore financial centres among the countries most-related to this observation, suggesting an investigation of such nodes with respect to the structural stability of the global financial system. Second, using a phenomenological model, the edge density of the debt securities network is found to describe, and even forecast, the proliferation of several over-the-counter-traded financial derivatives, most prominently credit default swaps, enabling one to detect potentially dangerous levels of market interdependence and systemic risk.