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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 24: Financial Markets and Risk Management
SOE 24.2: Vortrag
Freitag, 22. März 2024, 10:15–10:30, MA 001
Influence of the real economy on financial systemic risk - linking supply chain contagion with financial networks — •Jan Fialkowski1,2, Zlata Tabachová1, Christian Diem1, András Borsos1,3, and Stefan Thurner1,2,4 — 1Complexity Science Hub, Vienna, Austria — 2Medical University of Vienna, Vienna, Austria — 3Central Bank of Hungary, Budapest, Hungary — 4Santa Fe Institute, Santa Fe, USA
The recent COVID-19 crisis has shown that supply chain disruptions may lead to contagion in the financial system. The notion of financial systemic risk (SR) arises from the interconnectivity of financial institutions, e.g. on the interbank market. A shock to this system can originate from supply chain disruptions and for a coherent picture the notion of financial SR has to be extended by including firms and supply chains. Here we explore the relevance of supply chain contagion on financial SR. We use a unique dataset comprised of firm-level data of the Hungarian economy with time resolved information on its supply chains as well as bank-firm credits as well as the interbank loans. We identify and compare the relevance of the different channels through which financial institutions are exposed and show that taking the supply chain layer into account increases the expected losses of financial institutions from interbank exposure by a factor of 2. This highlights the need for a more integrated SR assessment by linking financial risks with dynamics of the real economy.
Keywords: Systemic Risk; Supply Chains; DebtRank; Contagion