This paper focuses on the structural change in the market for long-term interest rates in Japan before and after the Great East Japan Earthquake (Earthquake) by analyzing co-movement and transmission. Before the Earthquake, Japanese interest rate swaps and Tokyo Electric Power Company bonds...

This paper aims to investigate the co-movement and transmission of distress through money markets during the global financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two periods around the time of Lehman Brothers shock to...