Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives
- 1st Edition - September 27, 2006
- Imprint: Elsevier Science
- Editors: Jonathan A. Batten, T.A. Fetherston, P.G. Szilagyi
- Language: English
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 4 6 4 8 3 - 1
The Japanese capital markets were liberalized, decontrolled and increasingly opened to foreign participation in the 1970’s. The fixed income market particularly expanded to finance… Read more
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The Japanese capital markets were liberalized, decontrolled and increasingly opened to foreign participation in the 1970’s. The fixed income market particularly expanded to finance the government fiscal deficits commencing in 1975. However, growth in the non-Government side of the market for Japan has been a more recent phenomenon and a goal of policymakers in Japan and Asia since 1997.
These markets are now second only to those in the United States and dominate the issuance market in the Asian Pacific region. The latter does not surprise since Japan is second only to the United States in debt issuance globally and in recent years has had one of the world’s largest government bond and interest rate derivatives markets. However, these relationships are not static and the portfolio flows between Japanese fixed income markets, the Asia Pacific region and the rest of the world. This remains a matter of considerable importance for institutional investors, central banks and governments.
The efforts of the authors who have contributed to this volume will measurably add to our understanding of the Japanese Fixed Income Market. This volume is structured into four parts: Macroeconomic Environmental Development, Credit Risk Measures and Management, Interest Rate Analysis and Market Integration sections. There are seventeen chapters in the volume with thirty-one authors, many of whom are prominent in academic and practitioner aspects of the Fixed Income markets field, contributing their insight to this volume.
These markets are now second only to those in the United States and dominate the issuance market in the Asian Pacific region. The latter does not surprise since Japan is second only to the United States in debt issuance globally and in recent years has had one of the world’s largest government bond and interest rate derivatives markets. However, these relationships are not static and the portfolio flows between Japanese fixed income markets, the Asia Pacific region and the rest of the world. This remains a matter of considerable importance for institutional investors, central banks and governments.
The efforts of the authors who have contributed to this volume will measurably add to our understanding of the Japanese Fixed Income Market. This volume is structured into four parts: Macroeconomic Environmental Development, Credit Risk Measures and Management, Interest Rate Analysis and Market Integration sections. There are seventeen chapters in the volume with thirty-one authors, many of whom are prominent in academic and practitioner aspects of the Fixed Income markets field, contributing their insight to this volume.
*A four part volume that adds to the understanding of the Japanese Fixed Income Market
*17 chapters and 31 authors ensure a wide range of expertise and insight
*Focus is placed on macroeconomic environmental developments, credit risk measures and management, interest rate analysis and market integration
*17 chapters and 31 authors ensure a wide range of expertise and insight
*Focus is placed on macroeconomic environmental developments, credit risk measures and management, interest rate analysis and market integration
business and economics researchers, advanced graduate students, finance researchers, money and monetary policy researchers
Japanese Fixed Income Markets - Overview
Jonathan A. Batten, Thomas A. Fetherston and Peter G. Szilagyi
Macroeconomic Environmental Developments
Recent Developments in Japan’s Corporate Bond Market
Peter G. Szilagyi
The Past, Present and Future of the Securitisation Market in Japan
Roanne Coman
Risk management and derivative usage in Japan and neighbouring Asian and Pacific countries
Martin Young and Fong Mee Chin
Macroeconomic Causes of a Decade of Deflation
Richard Jerram
The Relationship Between Interest Rates and Economic Activity: How the Conventional Literature Has Dealt With the Japanese Experience
Richard A. Werner
Credit Risk Measures and Management
Dynamic equilibrium correction modelling of yen Eurobond credit spreads.
Seppo Pynnönen, Warren P. Hogan and Jonathan A. Batten
Hedging Market-Wide Credit Risk Using CDS Indexes:
The Case of Japan
Hans Byström
The Distribution of yen Denominated Credit Spreads.
Craig A. Ellis and Warren Hogan
The Japanese Credit Rating Environment: Insights from Issuers
Lisa M. Fairchild and Yoon S. Shin
Credit Ratings in the Japanese Bond Market
Nobuyoshi Yamori, Narunto Nishigaki and Yoshihiro Asai
Interest Rate Analysis
Multifractal Modeling of the Japanese Treasury Term Structure
Sutthisit Jamdee and Cornelis A. Los
Continuous Time Interest Rate Models in Japanese Fixed Income Markets
K. Ben Nowman
Market Integration
How Integrated are the Equity and Debt Markets? – A Comparative Study of Japanese and the U.S. Capital Markets
Heung-Joo Cha, Thadavillil Jithendranathan and, Jaebeom Kim
International Linkages of Japanese Bond Markets:
An Empirical Analysis
Bang Nam Jeon, Philip Ji and Hongfang Zhang
International Linkages of the Japanese Government Bond Market: Time-Series Evidence
T.J. Brailsford, Jack H. Penm and R.D. Terrell
Financial Market Integration: Evidence from Stock and Bond Markets In Japan and the US
Jun Nagayasu
- Edition: 1
- Published: September 27, 2006
- Imprint: Elsevier Science
- Language: English
JB
Jonathan A. Batten
Affiliations and expertise
Macquarie University, Sydney, AustraliaTF
T.A. Fetherston
Affiliations and expertise
University of Alabama at Birmingham, USAPS
P.G. Szilagyi
Affiliations and expertise
Tilburg University, Tilburg, The Netherlands