No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan

Tatsuyoshi Okimoto, Sumiko Takaoka

研究成果: Article査読

3 被引用数 (Scopus)

抄録

We introduce an affine term structure model with observed macroeconomic factors for credit spread curves under the unconventional monetary policy regime in Japan. Empirical results based on the model selection using Japanese data demonstrate that the credit spread curves are dominated by the monetary policy and suggest that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, play a major role in the dynamics of credit spread curves, complementing a growing body of literature explaining what drives credit spread curves. Our contemporaneous response and historical decomposition analyses find that monetary policy and global economic and financial forces have large impacts on credit spread curves at all maturities and rating classes.

本文言語English
論文番号101143
ジャーナルJournal of International Financial Markets, Institutions and Money
64
DOI
出版ステータスPublished - 2020 1月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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