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

水野 伸昭

doi:10.18999/ecos.58.2.69

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Other Title

グローバルキンユウキキデニホンノメガバンクノリスクワゾウカシタカ CDS プレミアムノヘンドウヨウインブンセキ

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Description

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.

Journal

経済科学

経済科学 58 (2), 69-81, 2010-09-30

名古屋大学大学院経済学研究科