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No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan

Crawford School of Public Policy

Event details

Public Lecture

Date & time

Tuesday 24 April 2018
11.00am–12.00pm

Venue

Seminar Room 3, Crawford School of Public Policy, #132 Lennox Crossing, ANU

Speaker

Dr. Tatsuyoshi Okimoto, Associate Professor of Economics and Finance at the Crawford School of Public Policy

Contacts

Thomas Home

Associate Professor of Economics Tatsuyoshi Okimoto from The ANU Crawford School of Public Policy presents the next Australia-Japan Research Centre (AJRC) Seminar Series of Semester 1 2018, entitled ‘No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan’.

Dr Okimoto will introduce an affine term structure model with observed macroeconomic factors for credit spread curves under the unconventional monetary policy regime in Japan. Empirical results based on the model selection using Japanese data demonstrate that the credit spread curves are dominated by the monetary policy and suggest that global economic forces, such as the US Treasury yield and Baa-Aaa credit spread, play a major role in the dynamics of credit spread curves, complementing a growing body of literature explaining what drives credit spread curves. Contemporaneous response and historical decomposition analyses find that monetary policy and global economic and financial forces have large impacts on credit spread curves at all maturities and rating classes.

Tatsuyoshi Okimoto is Associate Professor of Economics and Finance at Crawford School of Public Policy, co-editor of Japanese Economic Review and Gendai Finance, and Research Director at the Australia-Japan Research Centre. He received his PhD in Economics from the University of California, San Diego in 2005. Dr Okimoto’s current research focuses on financial econometrics, empirical finance and applied macroeconomics. He has published a number of articles in leading journals in economics and finance such as Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, and Journal of Money Credit and Banking. He was awarded the inaugural GPIF Finance Award in 2017, the Junko Maru Prize in 2015 and the Securities Analysts Journal Prize in 2014.

A light lunch will be provided.

The AJRC Seminar Series is a forum for researchers to engage on issues relevant to Japan. Topics include, but are not limited to, economics, international relations, politics, and national security. Seminars are typically very frank and early stage studies are most welcome.

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