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Zipf law in firms bankruptcy

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  • Fujiwara, Yoshi
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    Abstract

    Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in correlation with entry rate of new firms. We also show that the debt and size are highly correlated, so the Zipf law holds consistently with that for size distribution. In an attempt to understand “physics” of bankruptcy, we show that a model of debtor–creditor dynamics of firms and a bank, recently proposed by economists, can reproduce these phenomenological findings.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437104001165
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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 337 (2004)
    Issue (Month): 1 ()
    Pages: 219-230

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    Handle: RePEc:eee:phsmap:v:337:y:2004:i:1:p:219-230

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Zipf law; Firm growth; Bankruptcy; Balance-sheet; Econophysics;

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    Cited by:
    1. Pasquale Cirillo & Mauro Gallegati, 2012. "The Empirical Validation of an Agent-based Model," Eastern Economic Journal, Palgrave Macmillan, vol. 38(4), pages 525-547.
    2. Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi, 2006. "Validating and Calibrating Agent-based Models: a Case Study," Computing in Economics and Finance 2006 277, Society for Computational Economics.
    3. Taleb, Nassim N. & Tapiero, Charles S., 2010. "Risk externalities and too big to fail," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3503-3507.
    4. Boris Podobnik & Davor Horvatic & Alexander M. Petersen & Branko Uro\v{s}evi\'c & H. Eugene Stanley, 2010. "Bankruptcy risk model and empirical tests," Papers 1011.2670, arXiv.org.
    5. Giovanni Dosi & Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2012. "Income Distribution, Credit and Fiscal Policies in an Agent-Based Keynesian Model," Documents de Travail de l'OFCE 2012-06, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz, 2009. "An Analysis of the Japanese Credit Network," Papers 0901.2384, arXiv.org, revised Nov 2010.
    7. Bianchi, Carlo & Cirillo, Pasquale & Gallegati, Mauro & Vagliasindi, Pietro A., 2008. "Validation in agent-based models: An investigation on the CATS model," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 947-964, September.
    8. Ikeda, Yuichi & Aoyama, Hideaki & Iyetomi, Hiroshi & Fujiwara, Yoshi & Souma, Wataru & Kaizoji, Taisei, 2007. "Response of firm agent network to exogenous shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 138-148.
    9. Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati, 2013. "The Interrupted Power Law and The Size of Shadow Banking," Papers 1309.2130, arXiv.org, revised Apr 2014.
    10. Xavier Gabaix, 2008. "Power Laws in Economics and Finance," NBER Working Papers 14299, National Bureau of Economic Research, Inc.
    11. Simos Meintanis, 2009. "A unified approach of testing for discrete and continuous Pareto laws," Statistical Papers, Springer, vol. 50(3), pages 569-580, June.
    12. Estrada, Fernando, 2011. "Theory of financial risk," MPRA Paper 29665, University Library of Munich, Germany.
    13. Wright, Ian, 2008. "Implicit Microfoundations for Macroeconomics," Economics Discussion Papers 2008-41, Kiel Institute for the World Economy.
    14. Estrada, Fernando, 2009. "Tamaño y Riesgo en los Mercados Financieros
      [Size and Risk in the Finanzal Markets]
      ," MPRA Paper 19267, University Library of Munich, Germany.

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