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<Articles>Determinants of Japanese Yen Interest Rate Swap Spreads
http://hdl.handle.net/10191/1295
http://hdl.handle.net/10191/12959005b0fd-1169-4a6b-8efd-f87af506bea2
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
5_0006.pdf (1.1 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2007-04-23 | |||||
| タイトル | ||||||
| タイトル | <Articles>Determinants of Japanese Yen Interest Rate Swap Spreads | |||||
| タイトル | ||||||
| タイトル | <Articles>Determinants of Japanese Yen Interest Rate Swap Spreads | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Swap Spread | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | VAR | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | TED Spread | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Credit Risk | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Ito, Takayasu
× Ito, Takayasu |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The purpose of this paper is to investigate the determinants of Japanese yen interest rate swap spreads from the beginning of 1994 through the middle of 2003. The whole sample is devided into two sub periods. The first sub period, named Sample A, is from January 1994 through January 1999. The second sub period, named Sample B, is from February 1999 through July 2003. For the Variables of determinants, I use TED spead, credit risk and slope of the yield curve .The VAR model without error correction term is estimated for the analysis of variance decomposition and impulse response function. The credit risk influenced swap spreads of all maturities more in Sample A than in Sample B. Especially in mid term such as 4 year and 5 year, the impacts of credit risk were very strong in Sample A. | |||||
| 書誌情報 |
新潟大学経済論集 en : 新潟大学経済論集 巻 78, p. 1-23, 発行日 2005-03 |
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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 | |||||
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Cite as
Ito, Takayasu, 2005, <Articles>Determinants of Japanese Yen Interest Rate Swap Spreads: 新潟大学経済学会, 1–23 p.
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