TY - JOUR
T1 - The dynamic contagion of the global financial crisis into Japanese markets
AU - Miyakoshi, Tatsuyoshi
AU - Takahashi, Toyoharu
AU - Shimada, Junji
AU - Tsukuda, Yoshihiko
N1 - Funding Information:
The authors very much appreciate an anonymous referee's many useful comments. Earlier versions of this paper were presented at several seminars. The authors are grateful to Katsuto Iwai, Shinichi Fukuda, Yuzo Honda, Kazuo Ogawa, and Mamoru Nagano for their helpful comments. The first-named author acknowledges the financial support of a grant-in-aid ( #23530367 ) from the Japanese Ministry of Education, Culture, Sports, Science and Technology and the Trust Companies Association of Japan in 2013.
PY - 2014/8
Y1 - 2014/8
N2 - 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.
AB - 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.
KW - Dynamic contagion
KW - Global financial crisis
KW - Risk premium
KW - Sector index
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U2 - 10.1016/j.japwor.2014.05.003
DO - 10.1016/j.japwor.2014.05.003
M3 - Article
AN - SCOPUS:84901591403
VL - 31
SP - 47
EP - 53
JO - Japan and the World Economy
JF - Japan and the World Economy
SN - 0922-1425
ER -