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Munich Personal RePEc Archive

Termination of Bank-Firm Relationships

Nakashima, Kiyotaka and Takahashi, Koji

Konan University

6 January 2016

Online at https://mpra.ub.uni-muenchen.de/107858/

MPRA Paper No. 107858, posted 25 May 2021 01:31 UTC

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48

Figure 1. The Number of Relatioship Terminations, Bank Loan and GDP

0 500 1000 1500 2000 2500 3000

-15 -10 -5 0 5 10 15

Number of Termination (RHS)

Growth rates of outstanding amounts of bank loan

GDP

Notes: The number of terminations is calculated by summing all terminations over Japanese listed firms for each fiscal year. The growth rate of outstanding amounts of bank loans is calculated as the first log difference of outstanding amounts of loans by private financial institutions to private nonfinancial corporations.

Figure 2. Termination, New Relation and Revival

0 200 400 600 800 1000 1200 1400 1600 1800

R e la ti o n sh ip s

Number of perma net termina tions

Number of tempora ry termina tions

Number of new rela tionships

Number of reviva ls

Notes: The number of terminations and new relationships is calculated by summing all terminations and

new relationships over Japanese listed firms.

(51)

49

Figure 3. Estimation Results for the Baseline Termination Model

Figure 3-1. Bank Factors

-0.005 0 0.005 0.01 0.015 0.02

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

BLEV

-0.02 -0.01 0 0.01 0.02 0.03 0.04 0.05

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

MAJOR

-0.02 -0.015 -0.01 -0.005 0 0.005 0.01 0.015

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

BSIZE

Notes: BLEV, MAJOR and BSIZE indicate the bank book leverage ratio, the dummy variable of a

major bank, and the bank size variable, resplectively. The solid line indicates a point estimate of AMEs

for each covariate and the shaded area shows the 90% confidence interval of the estimate based on the

rolling estimations of the baseline probit model.

(52)

50

Figure 3-2. Firm Factors

-0.0015 -0.001 -0.0005 0 0.0005 0.001 0.0015

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FBLEV

-0.0015 -0.001 -0.0005 0 0.0005 0.001 0.0015 0.002 0.0025

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Firm σ

-0.005 -0.004 -0.003 -0.002 -0.001 0 0.001 0.002 0.003 0.004

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FROA

-0.01 -0.005 0 0.005 0.01 0.015 0.02

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FSIZE

Notes: FLEV, Firm σ, FROA and FSIZE indicate the firm book leverage ratio, the fir m volatility, the

firm return on assets, and the firm size variable, respectively. The solid line indicates a point estimate of

AMEs for each covariate and the shaded area shows the 90% confidence intervals of the estimates

based on the rolling estimations of the baseline probit model.

(53)

51

Figure 3-2. Firm Factors (continued)

-0.035 -0.03 -0.025 -0.02 -0.015 -0.01 -0.005 0 0.005 0.01 0.015 0.02

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FAGE

-0.1 -0.08 -0.06 -0.04 -0.02 0 0.02 0.04 0.06

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FSALE

-0.03 -0.02 -0.01 0 0.01 0.02 0.03 0.04 0.05 0.06 0.07

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

MARRY

-0.1 -0.05 0 0.05 0.1 0.15

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FLIQUID

-0.01 0 0.01 0.02 0.03 0.04 0.05 0.06 0.07

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FTERM

Notes: FAGE, FSALE, FLIQUID, MARRY and FTERM indicate the firm age, the firm sales growths, the firm liquid asset ratio, the firm marry indicator, and the firm terminatio indicator, respectively. The solid line indicates a point estimate of AMEs for each covariate and the shaded area shows the 90%

confidence interval of the estimate based on the rolling estimations of the baseline probit model.

(54)

52

Figure 3-3. Firm Funding Factors

-0.04 -0.02 0 0.02 0.04 0.06 0.08

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

EQUITY

-0.0025 -0.002 -0.0015 -0.001 -0.0005 0 0.0005 0.001 0.0015 0.002

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

CBOND

-0.015 -0.01 -0.005 0 0.005 0.01 0.015

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

CP

-0.0035 -0.003 -0.0025 -0.002 -0.0015 -0.001 -0.0005 0 0.0005 0.001

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

LOAN

Notes: EQUITY, CBOND, CP and LOAN indicate the equity increase indicator, the corporate bond, the

commercial paper, and the bank loan dependence variables, respectively. The solid line indicates a point

estimate of AMEs for each covariate and the shaded area shows the 90% confidence interval of the

estimate based on the rolling estimations of the baseline probit model.

(55)

53

Figure 3-4. Relationship Factors

-0.014 -0.012 -0.01 -0.008 -0.006 -0.004 -0.002 0

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

EXBORROW

-0.5 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

EXPLEND

Notes: EXBORROW and EXLEND indicate the borrowing exposure of firms, and the lending exposure

of banks, respectively. The solid line indicates a point estimate of AMEs for each covariate and the

shaded area shows the 90% confidence interval of the estimate based on the rolling estimations of the

baseline probit model.

(56)

54

Figure 4. Estimated AMEs of the Lowly Capitalized Bank Dummy and the Nonperforming Loan Ratio

-0.1 -0.05 0 0.05 0.1 0.15

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

LOWCAP

-0.015 -0.01 -0.005 0 0.005 0.01 0.015

1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 NPL

Notes: LOWCAP and NPL indicate the lowly capitalized bank indicator and the nonperforming loan

ratio variable, respectively. The solid line indicates point estimates of AMEs for each bank variable and

the dotted line indicates the 90% confidence interval of the estimates based on the rolling estimations of

alternative models where the bank book leverage ratio is replaced with the lowly capitalized bank

indicator (LOWCAP) or the nonperforming loan ratio variable (NPL). Since after 2006, almost all

banks have zero values for the lowly capitalized bank variable, the estimation results after 2006 are not

shown in this figure.

(57)

55

Figure 5. Estimated AMEs of FROA for Lowly and Non-lowly Capitalized Banks

-0.012 -0.01 -0.008 -0.006 -0.004 -0.002 0 0.002 0.004 0.006

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Non-lowly Capitalized Bank

90% Confidence Interval (Lowly Capitalized) Lowly Capitalized Bank

Notes: The solid line indicates point estimates of AMEs of the firm return on assets (FROA) for lowly capitalized banks and the dotted line indicates the 90% confidence intervals of the estimates. The gray bar indicates point estimates of AMEs of the firm ROA for non-lowly capitalized banks with error bars for the 90% confidence intervals. Since after 2006, almost all banks have zero values for the lowly capitalized bank variable, the estimation results after 2006 are not shown in this figure. The results are obtained by the rolling estimations of alternative models where the bank book leverage ratio is replaced with the lowly capitalized bank indicator and the interaction variable between the lowly capitalized dummy and the firm ROA is included.

Figure 6. Estimated AME of FROA for Highly and Non-highly Leveraged Banks

-0.006 -0.005 -0.004 -0.003 -0.002 -0.001 0 0.001 0.002 0.003 0.004

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Non-highly Leveraged Bank

90% Confidence Ineterval (Highly leveraged) Highly Leveraged Bank

Notes: The solid line indicates point estimates of AMEs of the firm return on assets (FROA) for highly leveraged banks and the dotted line indicates the 90% confidence intervals of the estimates. The gray bar indicates point estimates of the AMEs for non-highly leveraged banks with error bars for the 90%

confidence intervals.

(58)

56

Figure 7. Estimated Effects of the Bank Leverage Ratio and the Lowly Capitalized Bank Indicator in the Linear Probability Model with FEs

Notes: The solid line indicates a point estimate for the bank leverage ratio (BLEV) and the lowly capitalied bank indicator (LOWCAP) and the dashed line shows the 90% confidence intervals of the estimates based on the rolling estimations of the liner probability model (11). The X-axis indicates a starting year of each subsample period: A plot in year t shows an estimate based on the subsample period from year t through t+4.

Figure 8. Estimated Effects of the Firm ROA and the Volatility of Firm Assets in the Linear Probability Model with FEs

Notes: The solid line indicates a point estimate for the firm ROA (FROA) and the volatility of firm

assets (Firm Volatility) and the dashed line shows the 90% confidence intervals of the estimates based

on the rolling estimations of the liner probability model (12). The X-axis indicates a starting year of

each subsample period: A plot in year t shows an estimate based on the subsample period from year t

through t+4.

(59)

57

Figure 9. Estimated Interaction Effects in the Linear Probability Model with FEs

-0.01 -0.008 -0.006 -0.004 -0.002 0 0.002 0.004 0.006

19 90 19 91 19 92 19 93 19 94 19 95 19 96 19 97 19 98 19 99 20 00 20 01 20 02 20 03 20 04 20 05 20 06

FROA*LOWCAP

Notes: The solid line indicates a point estimate for the bank leverage ratio (BLEV) and the lowly

capitalied bank indicator (LOWCAP) and the dashed line shows the 90% confidence intervals of the

estimates based on the rolling estimations of the liner probability model (13). The X-axis indicates a

starting year of each subsample period: A plot in year t shows an estimate based on the subsample

period from year t through t+4.

(60)

58

Figure 10. Estimated Duration Effects

-0.07 -0.06 -0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Duration Dummy 2

-0.08 -0.07 -0.06 -0.05 -0.04 -0.03 -0.02 -0.01 0

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Duration Dummy 3

Notes: The solid line indicates point estimates of AMEs for duration dummy variables from the rolling estimations based on the baseline probit model and the dotted line indicates the 90% confidence intervals of the estimates. To calculate the AMEs, we used the shortest duration group as the reference.

Figure 11. Term Structure of Duration Effects for Selected Period

Notes: Each line indicates the point estimates of AMEs of the duration dummy variable for a specific

fiscal year from the rolling estimations based on the baseline probit model.

(61)

59

Figure 12. Estimated Duration Effects by Bank Capitalization

-0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004

Duration Dummy 2

Non-lowly capitalized Lowly capitalized

90% Confindence Interval for lowly capitalized banks

-0.15 -0.1 -0.05 0 0.05 0.1 0.15

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004

Duration Dummy 3

Non-lowly capitalized Lowly capitalized

90% confidence interval for lowly capitalized banks

Notes: The solid line indicates point estimates of AMEs of the duration dummy variables for lowly capitalized banks and the dotted line indicates the 90% confidence intervals of the estimates. The gray bar indicates point estimates of AMEs for non-lowly capitalized banks with error bars for the 90%

confidence intervals. The resutls are obtained by the rolling estimations of alternative models where the

lowly capitalized bank dummy and the interaction variables between it and the duration dummy

variables are included.

(62)

60

Figure 13. Estimated Duration Effects by Firm Volatility

-0.08 -0.07 -0.06 -0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Duration Dummy 2

Non-highly Volatile Highly Volatile

90% C.I. for HighlyVolatile Firms

-0.1 -0.09 -0.08 -0.07 -0.06 -0.05 -0.04 -0.03 -0.02 -0.01 0 0.01

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Duration Dummy 3

Non-highly volatile firms Highly volatile firms

90% confidence interval for highly volatile firms

Notes: The solid line indicates point estimates of AMEs of the duration dummy variables for firms with higher volatility and and the dotted line indicates the 90% confidence intervals of the estimates. The gray bar indicates point estimates of AMEs for firms with lower volatility with error bars for the 90%

confidence intervals. The results are obtained by the rolling estimations of alternative models where the

firm volatility variable is replaced with the highly volatile firm indicator and the interaction variables

between it and the duration dummy variables are included.

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