Credit Default Swap and Japanese Government Bond Markets under Negative Interest Rate Policy
Credit Default Swap and Japanese Government Bond Markets under Negative Interest Rate Policy
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负利率政策下的信用违约互换与日本国债市场
DOI：
10.1002/jcaf.22545
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发表时间：
2022
影响因子：
1.4
通讯作者：
Takayasu Ito
中科院分区：
文献类型：
--
作者：
Nguyen Thanh Thi Phuong;Thai Hanh Minh;山本康裕;Takezawa naoya;Takayasu Ito
日本央行（BOJ）在负利率政策下引入收益率曲线控制（YCC）后，信用违约掉期（CDS）和日本国债（JGB）市场发生了结构性变化。在引入 YCC 之前，CDS 和 JGB 市场已被分割。 CDS 市场是否起到了针对 JGB 市场的保险作用，还是无法确定，因为 CDS 和 JGB 市场之间没有发现因果关系。然而，它们在负利率政策下与 YCC 整合。 CDS 市场不能起到保险的作用，因为 CDS 市场与 JGB 市场之间存在单方面因果关系。 YCC推出的目的是向上调整收益率曲线，因为收益率曲线的扁平化损害了银行的利润。 10年期日本国债的正收益率已经成为对投资者的激励。随着YCC的引入，JGB重新获得了市场和价格发现功能，CDS和JGB的市场开始整合。
Structural changes have taken place in the markets of credit default swap (CDS) and Japanese Government Bond (JGB) after the Bank of Japan (BOJ) introduced yield curve control (YCC) under a negative interest rate policy. CDS and JGB markets were segmented before the introduction of YCC. Whether CDS markets function as insurance against the JGB market or cannot be confirmed because no causalities were found between CDS and JGB markets. However, they are integrated under a negative interest rate policy with YCC. The CDS market does not function as insurance because unilateral causalities from CDS to JGB markets were found. The purpose of YCC's introduction was an upward adjustment of the yield curve because the flattening of the yield curve damaged bank profits. A positive yield in a 10‐year JGB has become an incentive to investors. The markets of CDS and JGB have started to be integrated because JGB has regained a market and price discovery function with the introduction of YCC.