Market-Specific and Currency-Specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London
Market-Specific and Currency-Specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London
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DOI：
10.3386/w16962
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发表时间：
2011-04
期刊：
影响因子：
--
通讯作者：
Shin-ichi Fukuda
中科院分区：
文献类型：
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作者：
Shin-ichi Fukuda
本文探讨了在全球金融危机期间，国际货币市场如何反映信用和流动性风险。在货币种类匹配后，我们研究了东京银行同业拆放利率（TIBOR）与以美元和日元计价的伦敦银行同业拆放利率（LIBOR）的同步情况。无论货币面额如何，TIBOR在平静时期与LIBOR高度同步。然而，银行同业拆息在市场动荡期间出现大幅偏离。我们发现显着的非对称反应，在反映特定市场和货币的风险在危机期间。回归结果表明，交易对手信用风险增加了整个市场的差异，而流动性风险导致了不同货币面值的差异。他们也支持这样一种观点，即美元作为流动性的短缺在危机期间扭曲了国际货币市场。我们发现，协调的中央银行流动性规定是有用的，在降低流动性风险的美元交易。但它们的有效性在各个市场上是不对称的。
This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR) denominated in the US dollar and the Japanese yen. Regardless of the currency denomination, TIBOR was highly synchronized with LIBOR in tranquil periods. However, the interbank rates showed substantial deviations in turbulent periods. We find remarkable asymmetric responses in reflecting market-specific and currency-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a shortage of US dollar as liquidity distorted the international money markets during the crisis. We find that coordinated central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their effectiveness was asymmetric across the markets.