2012 Fiscal Year Final Research Report

Statistical analysis on the reallocation of credit in Japan

Research Project

Project/Area Number	23730313
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Multi-year Fund
Research Field	Public finance/Monetary economics
Research Institution	Kyoto Sangyo University
Principal Investigator	SAKAI Koji 京都産業大学, 経済学部, 准教授 (80548305)
Project Period (FY)	2011 – 2012
Keywords	金融論
Research Abstract	This study investigates the statistical properties of reallocation of credit in Japan using a panel data set of Japanese firms from 1994 to 2008. As results followings were obtained; 1) Every year of the sample exhibits sizable amount of credit reallocation across Japanese firms, which implies that the financing behavior of Japanese firms is highly heterogeneous in nature. 2) Reallocation of credit across Japanese firms exhibits countercyclical variation, which implies that the financing behavior of Japanese firms tends to be more heterogeneous in recessions. 3) The time variation in credit reallocation in Japan stems mainly from time variation in the firm-level idiosyncratic effects, which implies that the firm-level heterogeneity plays a crucial role in the reallocation of credit in Japan.