IDEAS home Printed from https://ideas.repec.org/a/ime/imemes/v16y1998i2p113-128.html
   My bibliography  Save this article

Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan

Author

Listed:
  • Ieda, Akira

    (Bank of Japan)

  • Ohba, Toshikazu

    (Long-Term Credit Bank of Japan)

Abstract

In this paper, we conduct a regression analysis on the spread over Libor (LS) on the domestic straight bond trading market in Japan from May 1997 through March 1998. Our analysis shows that, for non-construction issues, the lower the rating the higher the LS, and that the LS differential among issues with different ratings has expanded since around November 1997 against the background of a growing awareness of credit risk. Our analysis also shows that during the analysis period (May 1997 through March 1998) the coupon rate, which was previously a significant explanatory variable for the LS, lost its significance, and that the coefficient of the remaining maturity, which is also an explanatory variable, switched from negative to positive (the longer the period remaining until maturity, the higher the LS). The heightened awareness of credit risk among investors apparently contributed to both these phenomena, and the latter is particularly noteworthy because it is consistent with the results of empirical analyses in the United States. Finally, for construction issues, our analysis showed that the LS continued to increase following the bankruptcy of several construction companies during the summer of 1997, and that an extremely large premium has arisen for certain issues.

Suggested Citation

  • 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.
    • Handle: RePEc:ime:imemes:v:16:y:1998:i:2:p:113-128
    as

    Download full text from publisher

    File URL: http://www.imes.boj.or.jp/research/papers/english/me16-2-5.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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).
    2. Ieda, Akira & Ohba, Toshikazu, 1999. "Risk Management for Equity Portfolios of Japanese Banks," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(2), pages 91-117, August.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ime:imemes:v:16:y:1998:i:2:p:113-128. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kinken (email available below). General contact details of provider: https://edirc.repec.org/data/imegvjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.