Fujiwara, Yoshi Aoyama, Hideaki Ikeda, Yuichi Iyetomi, Hiroshi Souma, Wataru
Abstract
Credit relationships between commercial banks and quoted firms are studied for the structure and its temporal change from the year 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in the supply of credit affects firms as debtor, and failure of a firm influences banks as creditor. To quantify the dependency and influence between banks and firms, we propose to define a set of scores of banks and firms, which can be calculated by solving an eigenvalue problem determined the weight of the credit network. We found that a few largest eigenvalues and corresponding eigenvectors are significant by using a null hypothesis of random bipartite graphs, and that the scores can quantitatively describe the stability or fragility of the credit network during the 25 years.
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Publisher Info
Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number
2009-1.
Find related papers by JEL classification: G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
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