Banks' tightening credit standard in the liquidity crisis and the explanatory variables

2014 Fiscal Year Final Research Report

• Project/Area Number: 24330114
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Business administration
• 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)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 流動性危機 / 信用リスク / 二項ロジット

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).

Free Research Field

社会科学