6533b7cffe1ef96bd1258f83
RESEARCH PRODUCT
Backbone of credit relationships in the Japanese credit market
Hideaki AoyamaRosario N. MantegnaRosario N. MantegnaHiroshi IyetomiYoshi FujiwaraSalvatore MiccichèLuca MarottaMauro Gallegatisubject
Physics - Physics and SocietyGeneral methodcredit marketeducationDiversification (finance)FOS: Physical sciencesNetwork sizePhysics and Society (physics.soc-ph)01 natural sciences010305 fluids & plasmasFOS: Economics and businesscomplex network0502 economics and business0103 physical sciencesEconometricsFraction (mathematics)050207 economicshealth care economics and organizations05 social sciencescomplex networksComplex networkSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)information filteringComputer Science ApplicationsComputational MathematicsModeling and SimulationBond marketstatistically validated networksBusinessGeneral Finance (q-fin.GN)Quantitative Finance - General FinanceNull hypothesisdescription
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that is statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our findings with economic events that have characterized the Japanese credit market during the last years. The study of the time evolution of the backbone allows us to detect changes occurred in network size, fraction of credit explained, and attributes characterizing the banks and the firms present in the backbone.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-03-22 | EPJ Data Science |