Skip to main content

A Network Analysis of the JGB Repo Market

December 21, 2021

  • HORIKAWA Takumi*1
  • MATSUI Yujiro*2
  • GEMMA Yasufumi*3


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.

JEL classification
D85, G14, G20, L14

Network analysis; Financial markets; Repo transactions; PageRank; Bow-tie decomposition; Community detection

  1. *1Financial Markets Department (currently, Personnel and Corporate Affairs Department), Bank of Japan
    E-mail :
  2. *2Financial Markets Department (currently, Research and Statistics Department), Bank of Japan
    E-mail :
  3. *3Financial Markets Department (currently, International Department), Bank of Japan
    E-mail :


Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments. Views expressed are those of authors and do not necessarily reflect those of the Bank. If you have any comment or question on the working paper series, please contact each author. All rights reserved. Reprint or reproduction of this paper without permission is prohibited.