基于日本汽车制造业附属公司的信用风险实证研究【外文翻译】

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1、外文翻译ANoteonCreditRiskofVerticalKeiretsuFirms:PreliminaryEvidencefromtheJapaneseAutomobileIndustryMaterialSource:Asia-PacificFinancialMarketsAuthor:NAOYATAKEZAWA,NOBUYATAKEZAWAAbstract.ThispaperempiricallyexaminestherelationshipbetweenthecreditriskofToyota,NissanandHondakeiretsu-affiliated

2、firmsandthecreditriskoftherespectiveparentcompany.Ascreditspreaddataforkeiretsu-affiliatedfirmswerenotavailablewecreateakeiretsudefaultindex,asaproxy,usingexpecteddefaultprobabilitiesobtainedfromtheKMVandLelandandToft(J.Finance51,987–1019,1996)optionpricingmodels.Wefindparentcreditspreads

3、donotGrangercauseourkeiretsudefaultindexandviceversainadivaricatedvectorautoregressive(VAR)framework.1.IntroductionMuchofthetheoreticalandempiricalliteratureonJapanesebusinessgroupshasFocusedonissuesrelatedtothehorizontalormainbankcenteredkeiretsu(HoshiandKashyap(2001)amongothers).Yetonec

4、ouldarguemuchthatthestrengthoftheJapaneseindustrialeconomyisinthetechnologicalinnovationoffirmstiedtotheverticalkeiretsusystem(i.e.manufacturing-supplier,supplychainorientedkeiretsu)(Lincolnetal.,1998;Namiki,1999).Therecessioninthe1990splacedstressontheverticalkeiretsusystemtotheextenttha

5、tmanykeiretsu-linkedcompaniesfacefinancialdistressproblemsandhavebeenpartytorestructuringprograms.TheNissanrevitalizationplanisonesuchexampleofacorporaterestructuringplanaffectingthekeiretsu-affiliatedfirmsdirectly(Economist,2000).Inarecentstudy,Packer(1999)findsthatyieldspreadsoncorporat

6、ebondsforkeiretsu-affiliatedFirmswerehigherthannon-keiretsufirmsin1999.Intheir1997sample,however,Themeanyieldspreadishigherfornon-keiretsufirmsindicatingareversalincreditratingsinthelate1990s.Thissuggeststhatkeiretsu-affiliatedfirmshavehighercreditriskonaverageinrecentyears.Inthispaperwef

7、ocusourattentionontheJapaneseautomobileindustryandasktowhatextentisthecreditriskinherentinthekeiretsu-affiliatedfirmrelatedtothecreditriskoftheparentcompany.Thiscanbeaddressedempiricallybyexaminingtherelationshipbetweenthecreditspreadoftheparentfirmandthecreditsprea