The dynamic contagion of the global financial crisis into Japanese markets

被引：2

作者：

Miyakoshi, Tatsuyoshi ^{[1
]}

Takahashi, Toyoharu ^{[2
]}

Shimada, Junji ^{[3
]}

Tsukuda, Yoshihiko ^{[4
]}

机构：

[1] Hosei Univ, Fac Sci & Engn, Tokyo 1848584, Japan

[2] Chuo Univ, Fac Commerce, Tokyo, Japan

[3] Aoyama Gakuin Univ, Sch Business, Tokyo 150, Japan

[4] Tohoku Univ, Sch Econ, Sendai, Miyagi 980, Japan

来源：

JAPAN AND THE WORLD ECONOMY | 2014年 / 31卷

关键词：

Global financial crisis; Risk premium; Sector index; Dynamic contagion;

D O I：

10.1016/j.japwor.2014.05.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：47 / 53

页数：7

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