The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads

• Ito, Takayasu

抄録

This paper investigates the asymmetric impacts of global financial crisis on Japanese interest rate swap spreads by dividing the whole sample period into four. The uncertainty as for the future path of monetary policy is considered to cause volatility in the market after August 9, 2007 when subsidiaries of BNP Paribas announced the suspension of liquidation from asset. Thus volatility is a positive contributor to swap spreads of 2-years and 5-years. Default risk is negatively incorporated in 10-year swap spread after the Lehman shock of September 15, 2008. It is presumed that the functions of price discovery were lost.

収録刊行物

• 新潟大学経済論集

  新潟大学経済論集 90 175-191, 2011-03

  新潟大学経済学会

キーワード

• Global Financial Crisis
• Swap Spread
• Default Risk
• Liquidity Premium
• Monetary Policy

詳細情報

• CRID: 1050845764166160384
• NII論文ID: 120006742248
• NII書誌ID: AN00183269
• ISSN: 02861569
• HANDLE: 10191/16653
• NDL書誌ID: 11090208
• Web Site: https://niigata-u.repo.nii.ac.jp/records/27218
• Web Site: http://id.ndl.go.jp/bib/11090208
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I11090208
• 本文言語コード: ja
• 資料種別: departmental bulletin paper
• データソース種別:
  • IRDB
  • NDL
  • CiNii Articles