کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086084 | 1478159 | 2014 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The dynamic contagion of the global financial crisis into Japanese markets
ترجمه فارسی عنوان
گسترش پویایی بحران مالی جهانی به بازارهای ژاپن
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the risk contagion channel of the global financial crisis into Japan using daily data on bond risk premiums for the financial and manufacturing industries from July 18, 2006 to May 25, 2010. We employ a bivariate EGARCH model with the constant exogenous contagion impacts of foreign industries and the time-varying endogenous contagion impacts of domestic industries. We find evidence that: (i) a constant exogenous impact from foreign industries appears in the risk premium for 5-year bonds issued by manufacturing industry firms, and (ii) contagion only exists from the manufacturing industry to the financial industry, and that there is no evidence of any reverse causation, even during the Lehman Brothers shock on September 15, 2008. Thus, in Japan, risk transfers from foreign industries to the domestic manufacturing industry, and thence to the domestic financial industry.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 31, August 2014, Pages 47-53
Journal: Japan and the World Economy - Volume 31, August 2014, Pages 47-53
نویسندگان
Tatsuyoshi Miyakoshi, Toyoharu Takahashi, Junji Shimada, Yoshihiko Tsukuda,