Article ID Journal Published Year Pages File Type
964150 Journal of International Financial Markets, Institutions and Money 2009 17 Pages PDF
Abstract
This paper investigates the determinants and dynamics of subordinated credit spreads for Japanese mega-banks using the bond and credit default swap (CDS) spreads. The main findings are as follows. Subordinated bond and CDS spreads are cointegrated in most cases, and the CDS spread plays a more dominant role in price discovery than the bond spread. In addition, there are significant volatility spillovers from the CDS to bond spread. This information leadership for the CDS spread can largely be explained by stronger reactions of the CDS spread to some financial market variables and bank-specific accounting variables than the bond spread.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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