紀要論文

Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market : Does Credit Risk Premium Exist?

eng

09111247

https://doi.org/10.15002/00025454

Journal of International Economic Studies

36

181

197

2022-03

Version of Record

In this study, we examine the determinants of the yield spread between issuers in Japan’s municipal bond market using panel data and focus on identifying whether credit risk premium exists. The results of the panel data analysis reveal new evidence on the municipal bond market for FY2002-2013. In the first half of the 2000s, the fundamental fiscal statistics, that is, the credit risk indicators, had no impact on the yield spreads, suggesting the absence of credit risk premium. Second, Yūbari City’s insolvency in 2006 led to a structural break, and since that time investors have begun accounting for local governments’ outstanding debt. Third, when important financial events occur, other credit risk indicators also significantly impact the yield spread, suggesting that investors are more aware of credit risk presence during such events. Finally, the findings of this study may provide implications for financial institutions, market participants and regulators.

Article

AA10459262