Add to ORKGThis 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
In the turmoil of 2007–2009, troubles in a relatively small corner of the US mortgage market escalat...
The purpose of this paper is to investigate the impact of monetary policy expectation on US long ter...
The recent tension in the interbank markets following the global financial crisis has raised concern...
This article investigates the determinants of US interest rate swap spreads in the period including ...
University of Tokyo for helpful comments. I also thank Masaki Uchida for excellent research assistan...
The paper studies the interactions between the U.S. and four East Asian markets. The focus is on the...
The purpose of this paper is to investigate the determinants of Japanese yen interest rate swap spre...
In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the per...
This paper explores how international money markets reflected credit and liquidity risks during the ...
In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990...
We investigate the international transmission of the credit crisis triggered by the Lehman default i...
While the US dollar and Japanese yen are considered as safe-haven currencies, both their sovereign c...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
In the last 20 years the fascination in credit markets has turned to the subject of credit derivativ...
This paper analyses the impact of the global credit crisis on the money market and discusses its pot...
In the turmoil of 2007–2009, troubles in a relatively small corner of the US mortgage market escalat...
The purpose of this paper is to investigate the impact of monetary policy expectation on US long ter...
The recent tension in the interbank markets following the global financial crisis has raised concern...
This article investigates the determinants of US interest rate swap spreads in the period including ...
University of Tokyo for helpful comments. I also thank Masaki Uchida for excellent research assistan...
The paper studies the interactions between the U.S. and four East Asian markets. The focus is on the...
The purpose of this paper is to investigate the determinants of Japanese yen interest rate swap spre...
In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the per...
This paper explores how international money markets reflected credit and liquidity risks during the ...
In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990...
We investigate the international transmission of the credit crisis triggered by the Lehman default i...
While the US dollar and Japanese yen are considered as safe-haven currencies, both their sovereign c...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
In the last 20 years the fascination in credit markets has turned to the subject of credit derivativ...
This paper analyses the impact of the global credit crisis on the money market and discusses its pot...
In the turmoil of 2007–2009, troubles in a relatively small corner of the US mortgage market escalat...
The purpose of this paper is to investigate the impact of monetary policy expectation on US long ter...
The recent tension in the interbank markets following the global financial crisis has raised concern...