Purpose

From a financial stability viewpoint, this paper aims to study cyclical interdependencies arising from the cross-holding of securities in the Colombian financial system.

Design/methodology/approach

Cross-holding of securities in financial systems occurs when two financial institutions hold securities issued by each other or when more than two financial institutions hold securities issued by each other in a circular structure. Securities cross-holding is key for financial stability because of potential contagion arising from cyclical interdependencies in the connective architecture of financial systems. The presence of cyclical interdependencies is studied based on network analysis. The data set is a multilayer network that comprises bonds, certificates of deposit and equity issued and held by Colombian financial institutions from 2016 to 2019.

Findings

Results show that the extent of securities’ cyclical interdependencies is particularly low and stable – even when cross-holding across different types of securities is considered.

Research limitations/implications

The monetary value of exposures and their size with respect to financial institutions’ balance sheets are not considered. Studying the impact on the financial system’s solvency is a compulsory research path.

Practical implications

The network topology suggests that increased potential contagion by cyclical interdependencies and feedback effects from securities cross-holding is rather limited.

Originality/value

To the best of the authors’ knowledge, this is the first time that cyclical interdependencies arising from the securities cross-holding are studied. From a financial stability perspective, the methodology is general and promising for monitoring and analytical purposes.

中文翻译：

---

哥伦比亚金融体系中的证券交叉持有：一种拓扑方法

目的

从金融稳定的角度来看，本文旨在研究哥伦比亚金融体系中交叉持有证券所产生的周期性相互依存关系。

设计/方法/方法

当两个金融机构持有彼此发行的证券或两个以上的金融机构以循环结构持有彼此发行的证券时，就会发生金融系统中的证券交叉持有。证券交叉持有是金融稳定的关键，因为金融系统连接架构中的周期性相互依赖可能会传染。基于网络分析研究周期性相互依赖性的存在。该数据集是一个多层网络，包括哥伦比亚金融机构从 2016 年到 2019 年发行和持有的债券、存款证和股票。

发现

结果表明，证券的周期性相互依赖程度特别低且稳定——即使考虑到不同类型证券的交叉持有。

研究限制/影响

不考虑风险敞口的货币价值及其相对于金融机构资产负债表的规模。研究对金融体系偿付能力的影响是必修的研究路径。

实际影响

网络拓扑结构表明，周期性相互依赖和证券交叉持有的反馈效应增加的潜在传染性相当有限。

原创性/价值

据作者所知，这是第一次研究由证券交叉持有引起的周期性相互依存关系。从金融稳定的角度来看，该方法是通用的，并且有希望用于监测和分析目的。