| Affiliation: | (1) Graduate School of International Management, International University of Japan, Yamato-machi Niigata, Japan, 949-7277;(2) Division of International Studies, International Christian University, Mitaka Tokyo, Japan, 181 |
| Abstract: | This paper empirically examines the relationship between the credit risk of Toyota, Nissan and Honda keiretsu-affiliated firms and the credit risk of the respective parent company. As credit spread data for keiretsu-affiliated firms were not available we create a keiretsu default index, as a proxy, using expected default probabilities obtained from the KMV and Leland and Toft (J. Finance 51, 987–1019, 1996) option pricing models. We find parent credit spreads do not Granger cause our keiretsu default index and vice versa in a bivariate vector autoregressive (VAR) framework.JEL classification: G3, L62 |
