IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v19y2019i12p1953-1974.html
   My bibliography  Save this article

Multilayer overlaps and correlations in the bank-firm credit network of Spain

Author

Listed:
  • Duc Thi Luu
  • Thomas Lux

Abstract

We investigate the structural dependencies in the bank-firm credit market of Spain in the year 2007 under a multilayer network perspective. In particular, we decompose the original bipartite network into different layers representing different industrial sectors. We then study the correlations between layers based on normalized measures of overlaps of links and weights of banks between layers. To assess the statistical significance of such correlations, we compare the observed values with the expected ones obtained from random graph models and so-called configuration models. While the former impose only global constraints, i.e. the total degree or the total strength in single layers, the latter preserve the intrinsic heterogeneity of the data in the form of its observed degree sequence and/or strength sequence in single layers. We find that, first, the raw dependencies between layers of the observed network are highly heterogeneous. Second, when evaluated against the null models, the rescaled correlations after filtering out the effects of the global constraints typically display no significant difference to the observed correlations. Similarly, in the binary version, almost all correlations are still present after subtracting the effects of the observed degree sequences in all layers while the observed correlations are only partially explained by the local constraints maintained in the weighted configuration models. Under all null models, we find that the multilayer credit network has a significant, non-random structure of correlations that cannot be explained by more primitive network properties alone. Disentangling the underlying contributions to the non-random elements we find that in 2007 the loan portfolios of different categories of Spanish banks (commercial and savings banks) have been very homogeneous, generating also strong overlaps in lending structure between many sectors of the economy.

Suggested Citation

  • Duc Thi Luu & Thomas Lux, 2019. "Multilayer overlaps and correlations in the bank-firm credit network of Spain," Quantitative Finance, Taylor & Francis Journals, vol. 19(12), pages 1953-1974, December.
  • Handle: RePEc:taf:quantf:v:19:y:2019:i:12:p:1953-1974
    DOI: 10.1080/14697688.2019.1620318
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2019.1620318
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.

    More about this item

    Statistics

    Access and download statistics

    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:taf:quantf:v:19:y:2019:i:12:p:1953-1974. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.