EconPapers    
Economics at your fingertips  
 

A Network Analysis of the JGB Repo Market

Takumi Horikawa, Yujiro Matsui and Yasufumi Gemma
Additional contact information
Takumi Horikawa: Bank of Japan
Yujiro Matsui: Bank of Japan
Yasufumi Gemma: Bank of Japan

No 21-E-14, Bank of Japan Working Paper Series from Bank of Japan

Abstract: In this paper, we attempt to understand the characteristics of the Japanese government bond (JGB) repo market by applying network analysis methods to highly granular data on JGB repo transactions. We especially use a measure of "network centrality" which quantitatively identifies financial institutions that play an important role in the transaction network and a "community detection" method which identifies groups of financial institutions that have close transactional relationships with each other. From the results, it was observed that some highly important financial institutions functioned as intermediaries for transactions and that continuous transaction relationships within groups were built around them. These characteristics may contribute to the efficient matching of cash borrowing and lending needs, and to the smooth execution of large-lot transactions. We also conducted some analysis of the behavior of the network structure of the JGB repo market under market stress using the data from March 2020, when the repo rate fluctuated significantly due to the spread of the COVID-19 pandemic. The results of the analysis in this paper indicate the importance of continuously monitoring the functioning of the JGB repo market, and also provide clues for maintaining and improving the functioning and robustness of the market.

Keywords: Network analysis; Financial markets; Repo transactions; PageRank; Bow-tie decomposition; Community detection (search for similar items in EconPapers)
JEL-codes: D85 G14 G20 L14 (search for similar items in EconPapers)
Date: 2021-12-21
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fmk and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.boj.or.jp/en/research/wps_rev/wps_2021/data/wp21e14.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boj:bojwps:wp21e14

Access Statistics for this paper

More papers in Bank of Japan Working Paper Series from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().

 
Page updated 2025-03-22
Handle: RePEc:boj:bojwps:wp21e14