日本語タイトル:日本における連鎖倒産の実証分析

An Empirical Analysis of the Propagation of Corporate Bankruptcy

概要

連鎖倒産という現象は、企業の取引ネットワークを通じての負のショックの波及という点でネットワーク特有の現象である。本論文では、販売先企業が倒産したことによる仕入先企業の倒産確率の上昇を、日本の100万社を超える企業情報、倒産記録、仕入先・販売先ネットワークから成るデータを用いて分析した。その結果、販売先の倒産は仕入先の倒産確率に有意に上昇させていること、例えば50%の販売先が倒産した場合、仕入先企業の倒産確率は元の値から約2倍上昇することが分かった。この結果を用いて、販売先の倒産の影響がマクロレベルでどの程度重要かを検証し、また連鎖倒産を阻止するための政府の政策(セーフティーネット保証)についても分析した。企業レベルでは販売先の倒産は倒産確率の重要な要素である一方で、生産ネットワークの構造(スモール・ワールド性)によって、1次から2次、3次の仕入れ先というように倒産が伝播する可能性は極めて低いということが分かった。

概要(英語)

In our modern economy, firms are interconnected in a complex network of various relationships such as customer-supplier relationships. The important role that this network structure for aggregate fluctuations plays in aggregate fluctuations has received increasing attention in recent studies, and the analysis of shock propagation on the network has become an important field of research. The propagation of corporate bankruptcy via a production network is an example of such phenomena. A customer's bankruptcy may lead to a considerable loss for the firm's suppliers (e.g., losses in trade credit and future earnings), causing a cascade of bankruptcies among suppliers. This paper empirically analyzes this contagion effect by merging two comprehensive datasets, one on customer-supplier relationships of more than one million firms in Japan and the other on bankruptcies from April 2013 to February 2017, recorded on a daily basis. Our dataset enables us to identify the suppliers facing customer bankruptcy and to analyze the suppliers' subsequent response. We show that the contagion effect is economically and statistically significant at the firm level; for example, bankruptcies of 50% customers approximately double the bankruptcy probability of their suppliers. Based on this result, we examine the aggregate impact of the contagion effect by simulating our model. We find that bankruptcy propagation is highly unlikely to be pervasive even though there is a significant contagion effect at the firm level. This is because the aggregate consequence of bankruptcies is determined by the combined effect of the contagion at the firm level and the production network structure. Bankruptcy shocks are immediately absorbed by the economy because of the small-worldness of the production network. This characteristic feature of the production network prevents bankruptcy propagation in the economy, thus, it is unlikely to occur.