Banks' tightening credit standard in the liquidity crisis and the explanatory variables
Project/Area Number |
24330114
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Research Category |
Grant-in-Aid for Scientific Research (B)
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Allocation Type | Partial Multi-year Fund |
Section | 一般 |
Research Field |
Business administration
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Research Institution | University of Tsukuba |
Principal Investigator |
ONO Tadashi 筑波大学, ビジネスサイエンス系, 教授 (10527930)
|
Co-Investigator(Renkei-kenkyūsha) |
TSUBAKI Hiroe 統計数理研究所, データ科学研究系, 教授 (30155436)
YAMASHITA Satoshi 統計数理研究所, データ科学研究系, 教授 (50244108)
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Project Period (FY) |
2012-04-01 – 2015-03-31
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Project Status |
Completed (Fiscal Year 2014)
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Budget Amount *help |
¥8,580,000 (Direct Cost: ¥6,600,000、Indirect Cost: ¥1,980,000)
Fiscal Year 2014: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2012: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
|
Keywords | 流動性危機 / 信用リスク / 二項ロジット / 流動性 / 経営財務 / 金融 |
Outline of Final Research Achievements |
This reserach would like to show the financial stress (liquidity crisis) prediction model using binomial logit approach. A dummy variable (where 1 indicates a large company with 1 billion dollar or more in assets is in default and 0 indicates a non-default company) is used as the dependent variable. The final explanatory variables are "Corp Bond Spread (Lag 24)" and "Stock market Crash (Lag 12)". The liquidity crisis probability predicted by this model has strong predictive power of public listed companies default number. The model is more precise in predicting financial stress on the basis of defaults than the financial stress index given by the Federal Reserve Bank of Cleveland (CFSI).
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Report
(4 results)
Research Products
(14 results)
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[Presentation] 流動性危機確率予測モデル2014
Author(s)
大野忠士、椿広計
Organizer
日本ファイナンス学会第22回大会
Place of Presentation
中央大学多摩キャンパス(東京都八王子市)
Year and Date
2014-05-31 – 2014-06-01
Related Report
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