Did the Great East Japan Earthquake Have an Impact on the Market for Long-Term Interest Rates in Japan?

This paper focuses on the structural change in the market for long-term interest rates in Japan before and after the Great East Japan Earthquake (Earthquake) by analyzing co-movement and transmission. Before the Earthquake, Japanese interest rate swaps and Tokyo Electric Power Company bonds moved to...

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Bibliographic Details
Published in:The ICFAI journal of applied finance 2013-10, Vol.19 (4), p.61
Main Author: Ito, Takayasu
Format: Article
Language:English
Subjects:
Banking industry
Causality
Cointegration analysis
Corporate bonds
Credit risk
Earthquakes
Electric power
Government bonds
Hypotheses
Impact analysis
Interest rate swaps
Interest rates
Nuclear power plants
Structural adjustment
Studies
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Summary:This paper focuses on the structural change in the market for long-term interest rates in Japan before and after the Great East Japan Earthquake (Earthquake) by analyzing co-movement and transmission. Before the Earthquake, Japanese interest rate swaps and Tokyo Electric Power Company bonds moved together. On the other hand, Japanese government bonds and Japanese interest rate swaps moved together after it. There was no transmission among the three interest rates before the Earthquake. But after the Earthquake, there was transmission between Japanese government bonds and Japanese interest rate swaps. Therefore, it can be concluded that the market for long-term interest rates in Japan changed structurally after the Earthquake. [PUBLICATION ABSTRACT]
ISSN:0972-5105