@article{oai:niigata-u.repo.nii.ac.jp:00027218,
 author = {Ito, Takayasu},
 journal = {新潟大学経済論集, 新潟大学経済論集},
 month = {Mar},
 note = {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.},
 pages = {175--191},
 title = {The Impacts of Global Financial Crisis on Japanese Financial Market: Analysis of Interest Rate Swap Spreads},
 volume = {90},
 year = {2011}
}