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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 58(2)

グローバル金融危機で日本のメガバンクのリスクは増加したか : CDSプレミアムの変動要因分析

https://doi.org/10.18999/ecos.58.2.69
https://doi.org/10.18999/ecos.58.2.69
8ed43385-ab8a-4118-8fd1-94414d1e0452
名前 / ファイル ライセンス アクション
MizunoNobuaki.pdf MizunoNobuaki.pdf (1.1 MB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2011-04-20
タイトル
タイトル グローバル金融危機で日本のメガバンクのリスクは増加したか : CDSプレミアムの変動要因分析
著者 水野, 伸昭

× 水野, 伸昭

WEKO 39933

水野, 伸昭

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抄録
内容記述 During the global financial crisis caused by the subprime mortgage problems, the credit default swap (CDS) premiums for three Japanese mega banks rose sharply in 2007. Did it mean the risks of these banks increased though Japanese banks were said to have small amount of credit exposure to subprime mortgages compared with major U.S. and European banks? This paper empirically investigates the determinants of CDS premiums for these banks for the periods of before and after the beginning of the global financial crisis. The main findings are summarized as follows. First, after the beginning of the crisis, the CDS premiums for these banks were affected by the market movement (TOPIX) as a whole. Second, unique factors to each bank did not have significant effects for both periods. This result implies that during the global financial crisis, the market participants required large risk premiums because the future economy could not be seen for sure but not because they thought unique risk factors to each bank such as credit risks increased.
内容記述タイプ Abstract
出版者
出版者 名古屋大学大学院経済学研究科
言語
言語 jpn
資源タイプ
資源 http://purl.org/coar/resource_type/c_6501
タイプ departmental bulletin paper
ID登録
ID登録 10.18999/ecos.58.2.69
ID登録タイプ JaLC
ISSN(print)
収録物識別子タイプ ISSN
収録物識別子 0022-9725
書誌情報 経済科学

巻 58, 号 2, p. 69-81, 発行日 2010-09-30
著者版フラグ
値 publisher
URI
識別子 http://hdl.handle.net/2237/14607
識別子タイプ HDL
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