IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v13y2025i2p21-d1575747.html
   My bibliography  Save this article

Turning Points in the Core–Periphery Displacement of Systemic Risk in the Eurozone: Constrained Weighted Compositional Clustering

Author

Listed:
  • Anna Maria Fiori

    (Department of Statistics and Quantitative Methods, University of Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy
    Member of Gruppo Nazionale per l’Analisi Matematica, la Probabilità e le loro Applicazioni (GNAMPA), Italy.)

  • Germà Coenders

    (Department of Economics, Faculty of Economics and Management, University of Girona, C/Universitat 10, 17003 Girona, Spain)

Abstract

Investigating how systemic risk originates and spreads across the financial system poses an inherently compositional question, i.e., a question concerning the joint distribution of relative risk share across several interdependent contributors. To address this question, we propose a weighted compositional clustering approach aimed at tackling the trajectories and turning points of systemic risk in the Eurozone, from both a chronological and a geographical perspective. The cluster profiles emerging from our analysis indicate a progressive shift from Northern Europe towards the Euro-Mediterranean region in the coordinate center of systemic risk compositions. This shift matures as the outcome of complex interactions between core and peripheral EU countries that compositional methods have the merit of capturing and unifying in a self-contained multivariate framework.

Suggested Citation

  • Anna Maria Fiori & Germà Coenders, 2025. "Turning Points in the Core–Periphery Displacement of Systemic Risk in the Eurozone: Constrained Weighted Compositional Clustering," Risks, MDPI, vol. 13(2), pages 1-23, January.
  • Handle: RePEc:gam:jrisks:v:13:y:2025:i:2:p:21-:d:1575747
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-9091/13/2/21/pdf
    Download Restriction: no

    File URL: https://www.mdpi.com/2227-9091/13/2/21/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Aldasoro, Iñaki & Alves, Iván, 2018. "Multiplex interbank networks and systemic importance: An application to European data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 17-37.
    2. Alves, Nuno & Bonfim, Diana & Soares, Carla, 2021. "Surviving the perfect storm: The role of the lender of last resort☆," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    3. Buch, Claudia M. & Koetter, Michael & Ohls, Jana, 2016. "Banks and sovereign risk: A granular view," Journal of Financial Stability, Elsevier, vol. 25(C), pages 1-15.
    4. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. Anna Maria Fiori & Francesco Porro, 2023. "A compositional analysis of systemic risk in European financial institutions," Annals of Finance, Springer, vol. 19(3), pages 325-354, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
    2. Luís Fonseca, 2015. "Central Bank Interventions, Demand for Collateral, and Sovereign Borrowing Costs," Working Papers w201509, Banco de Portugal, Economics and Research Department.
    3. Clemens Bonner, 2016. "Preferential Regulatory Treatment and Banks' Demand for Government Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1195-1221, September.
    4. Viral V. Acharya & Sascha Steffen, 2016. "Capital Markets Union in Europe: Why other Unions must lead the Way," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 152(IV), pages 319-329, December.
    5. Ouyang, Zisheng & Zhou, Xuewei & Lu, Min & Liu, Ke, 2024. "Imported financial risk in global stock markets: Evidence from the interconnected network," Research in International Business and Finance, Elsevier, vol. 69(C).
    6. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017. "ESBies: safety in the tranches," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 32(90), pages 175-219.
    7. Wedow, Michael & Koetter, Michael & Podlich, Natalia, 2017. "Inside asset purchase programs: the effects of unconventional policy on banking competition," Working Paper Series 2017, European Central Bank.
    8. Aldasoro, Iñaki & Hüser, Anne-Caroline & Kok, Christoffer, 2022. "Contagion accounting in stress-testing," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    9. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
    10. Böhm, Hannes & Eichler, Stefan, 2018. "Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the euro area and its drivers," IWH Discussion Papers 19/2018, Halle Institute for Economic Research (IWH).
    11. Elosegui, Pedro & Forte, Federico D. & Montes-Rojas, Gabriel, 2022. "Network structure and fragmentation of the Argentinean interbank markets," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
    12. Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
    13. Ojea-Ferreiro, Javier & Reboredo, Juan C. & Ugolini, Andrea, 2024. "Systemic risk effects of climate transition on financial stability," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    14. Crosignani, Matteo & Faria-e-Castro, Miguel & Fonseca, Luís, 2020. "The (Unintended?) consequences of the largest liquidity injection ever," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 97-112.
    15. Germ`a Coenders & N'uria Arimany Serrat, 2023. "Accounting statement analysis at industry level. A gentle introduction to the compositional approach," Papers 2305.16842, arXiv.org, revised Mar 2025.
    16. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
    17. Arnone, Massimo & Costantiello, Alberto & Leogrande, Angelo, 2025. "Analyzing Risk Exposure Determinants in European Banking: A Regulatory Perspective," OSF Preprints 2u4jb_v1, Center for Open Science.
    18. Timmer, Yannick, 2016. "Cyclical investment behavior across financial institutions," Discussion Papers 08/2016, Deutsche Bundesbank.
    19. Huang, Wenli & Lan, Cheng & Xu, Yueling & Zhang, Zhaonan & Zeng, Haijian, 2022. "Does COVID-19 matter for systemic financial risks? Evidence from China's financial and real estate sectors," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    20. Shi, Qing & Sun, Xiaoqi & Xu, Man & Wang, Mengjiao, 2022. "The multiplex network structure of global cobalt industry chain," Resources Policy, Elsevier, vol. 76(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:13:y:2025:i:2:p:21-:d:1575747. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.