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The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads
http://hdl.handle.net/10191/16653
http://hdl.handle.net/10191/16653114248ed-e889-454a-9d97-53975272d2e8
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
90_175-191.pdf (1.1 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2011-06-24 | |||||
| タイトル | ||||||
| タイトル | The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads | |||||
| タイトル | ||||||
| タイトル | The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Global Financial Crisis | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Swap Spread | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Default Risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Liquidity Premium | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Monetary Policy | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| その他のタイトル | ||||||
| その他のタイトル | The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads | |||||
| 著者 |
Ito, Takayasu
× Ito, Takayasu |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. | |||||
| 書誌情報 |
新潟大学経済論集 en : 新潟大学経済論集 巻 90, p. 175-191, 発行日 2011-03 |
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| 出版者 | ||||||
| 出版者 | 新潟大学経済学会 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 02861569 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00183269 | |||||
| 著者版フラグ | ||||||
| 値 | publisher | |||||
