Miyakoshi, Tatsuyoshi; Takahashi, Toyoharu; Shimada, Junji - In: Japan and the World Economy 31 (2014) C, pp. 47-53
This paper investigates the risk contagion channel of the global financial crisis into Japan using daily data on bond risk premiums for the financial and manufacturing industries from July 18, 2006 to May 25, 2010. We employ a bivariate EGARCH model with the constant exogenous contagion impacts...
