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Credit risk in Japan's corporate bond market

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  • Frank Packer

Abstract

From the fall of 1997 to the spring of 1999, yield spreads in Japan's corporate bond market increased sharply. An analysis of this rapid rise suggests that Japanese investors in corporate bonds may be paying closer attention to the credit risk of individual issuers. Such a shift in investor focus would represent a major change in the structure of this market.

Suggested Citation

  • Frank Packer, 1999. "Credit risk in Japan's corporate bond market," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 5(Nov).
    • Handle: RePEc:fip:fednci:y:1999:i:nov:n:v.5no.15
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    References listed on IDEAS

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    1. Takeo Hoshi & Anil Kashyap, 2000. "The Japanese Banking Crisis: Where Did It Come From and How Will It End?," NBER Chapters, in: NBER Macroeconomics Annual 1999, Volume 14, pages 129-212, National Bureau of Economic Research, Inc.
    2. Hoshi, Takeo & Kashyap, Anil & Scharfstein, David, 1990. "The role of banks in reducing the costs of financial distress in Japan," Journal of Financial Economics, Elsevier, vol. 27(1), pages 67-88, September.
    3. Frank Packer & Elizabeth Reynolds, 1997. "The samurai bond market," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 3(Jun).
    4. Ieda, Akira & Ohba, Toshikazu, 1998. "Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(2), pages 113-128, December.
    5. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
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    Cited by:

    1. Nguyen, Pascal, 2007. "Macroeconomic factors and Japan's industry risk," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 173-185, April.

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    Keywords

    Credit; Corporate bonds; Risk; Japan;
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