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Market-specific and Currency-specific Risk during the Global Financial Crisis : Evidence from the Interbank Markets in Tokyo and London
http://hdl.handle.net/2261/37279
http://hdl.handle.net/2261/37279e5a6b97c-1868-47b3-ad65-acf9eecebcee
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Market-specific and Currency-specific Risk during the Global Financial Crisis : Evidence from the Interbank Markets in Tokyo and London | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL codes: G15, G12, F36 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | credit risk | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | liquidity risk | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | interbank market | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | global financial crisis | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Fukuda, Shin-ichi
× Fukuda, Shin-ichi |
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著者別名 | ||||||
識別子 | 98589 | |||||
識別子Scheme | WEKO | |||||
姓名 | 福田, 慎一 | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR) denominated in the US dollar and the Japanese yen. Regardless of the currency denomination, TIBOR was highly synchronized with LIBOR in tranquil periods. However, the interbank rates showed substantial deviations in turbulent periods. We find remarkable asymmetric responses in reflecting market-specific and currency-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a shortage of US dollar as liquidity distorted the international money markets during the crisis. We find that coordinated central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their effectiveness was asymmetric across the markets | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Forthcoming in Journal of Banking and Finance. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-759, 発行日 2010-09 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf759ab.html |