The Term Structure of Credit Spreads and Business Cycle in Japan PDF Download
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Author: Tatsuyoshi Okimoto
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the credit spread curve of medium-grade corporate bonds with an A or BBB rating has more useful information than the government bond yield curve for predicting the business cycle in Japan. However, our results indicate that the increase in the BBB-rated credit spread is associated with future economic growth, contradicting the theoretical prediction in the existing literature. Our Markov-switching analysis demonstrates that this peculiar relationship holds only during the global financial crisis regime, and the 1-year government bond yield and the term spread of A-rated credit spread information have significant predictive power for the business cycle in Japan regardless of the economic state.
Author: Tatsuyoshi Okimoto
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the credit spread curve of medium-grade corporate bonds with an A or BBB rating has more useful information than the government bond yield curve for predicting the business cycle in Japan. However, our results indicate that the increase in the BBB-rated credit spread is associated with future economic growth, contradicting the theoretical prediction in the existing literature. Our Markov-switching analysis demonstrates that this peculiar relationship holds only during the global financial crisis regime, and the 1-year government bond yield and the term spread of A-rated credit spread information have significant predictive power for the business cycle in Japan regardless of the economic state.
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 64
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Book Description
Author: Gary Stephen Shea
Publisher:
ISBN:
Category : Debt
Languages : en
Pages : 286
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Book Description
Author: Marco Sorge
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 72
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Book Description
Author: Kenneth Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Note: This is a description of the paper, not the abstract. Previous research finds that the Japanese term structure of interest rates, as defined by the long-term interest rate minus the short-term interest rate, fails to predict future Japanese economic activity, as defined by changes in GDP. The failure to find a relationship between the two variables is surprising because in almost all other developed economies, a positive relationship is prevalent. Our paper makes two key contributions to the literature. First, we offer an explanation for the inability of prior research to find a positive relationship between these two variables. Specifically, we describe the existence of two distinct economic regimes that have existed in Japan's recent history. During the period from 1975 to 1983, Japanese authorities tightly regulated interest rates and restricted financial market activities. In contrast, the period from 1984 to 1991 represents a time of financial market liberalization. Therefore, we contend that the term structure contains un-informative information for predicting economic activity in the first period, but that the market forces that were allowed to prevail in the latter period should permit the well known positive relationship between these two variables to persist. Overall, we do find a positive relationship between the term structure and economic activity in the latter period of our study, while no significant relationship emerges from the first period. These findings are consistent with our hypothesis. Finally, the second main contribution of our paper is that we employ a generalized method of moments (GMM) methodology to conduct our study. This methodology represents an improvement over prior term structure studies.
Author: Jeffrey Sachs
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 68
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Book Description
The current crisis in international lending points up a lesson re-learned several times in the past 150 years: the international loan markets function very differently from the textbook model of competitive lending. This paper discusses various extensions of the basic model. First, we amend the textbook model to show how limitations on a government'staxing authority may greatly affect its optimal borrowing strategy. Second, we explore the implications of adebtor country's option to repudiate debt. Third, we show that efficient lending may require collective actions by bank syndicates, and that a breakdown in collective action can result in serious inefficiencies and even financial panics.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 145180198X
Category : Business & Economics
Languages : en
Pages : 46
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Book Description
This 2002 Article IV Consultation highlights that despite the synchronized slowdown in the rest of the world in 2001, the Australian economy has continued to grow strongly. This performance reflected the absence of major imbalances in the economy, an aggressive easing of monetary policy, fiscal policy stimulus, and a competitive exchange rate. Real GDP has risen at an average annual rate of 33⁄4 percent since end-2000. With underlying inflation pressures muted and the uncertainty about the depth and duration of the global slowdown, monetary policy was highly supportive of growth.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Haibin Zhu
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 40
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Book Description
Author: Cheng-Few Lee
Publisher: Emerald Group Publishing
ISBN: 1801173141
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Advances in Pacific Basin Business, Economics and Finance (APBBEF) is an annual series designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries. All articles published are reviewed and recommended by at least two members of the editorial board.
