Did the Great East Japan Earthquake Have an Impact on the Market for Long-Term Interest Rates in Japan?

Takayasu Ito

The IUP Journal of Applied Finance, 2013, vol. 19, issue 4, 61-70

Abstract: This paper focuses on the structural change in the market for long-term interest rates in Japan before and after the Great East Japan Earthquake (Earthquake) by analyzing co-movement and transmission. Before the Earthquake, Japanese interest rate swaps and Tokyo Electric Power Company bonds moved together. On the other hand, Japanese government bonds and Japanese interest rate swaps moved together after it. There was no transmission among the three interest rates before the Earthquake. But after the Earthquake, there was transmission between Japanese government bonds and Japanese interest rate swaps. Therefore, it can be concluded that the market for long-term interest rates in Japan changed structurally after the Earthquake.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:19:y:2013:i:4:p:61-70

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