Significant ties: Identifying relationship lending in temporal interbank networks

Teruyoshi Kobayashi and Taro Takaguchi
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Taro Takaguchi: National Institute of Information and Communication Technology

No 1717, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: Relationship lending is conventionally interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify a lending relationship while simple statistics such as the frequency and volume of loans have been frequently used. Here, we propose the concept of a significant tie to statistically evaluate the strength of a relationship. Application of the proposed method to the Italian interbank networks reveals that the percentage of relationship lending among all bilateral trades is consistently around 20%-30% and that their trading properties are distinct from those of transactional trades.

Pages: 31 pages
Date: 2017-08
New Economics Papers: this item is included in nep-ban
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