9He r e, wee s t i ma t et hemar ke tva l ueo fl a ndandho l d i ngs e c ur i t i e s , buto t he rt a ng i b l eas s e t sa r e a c c o unt e db ybo o kva l ue.
1
0Thea c c ur a c yo fo urgi si nf e r i o rt ot heo neus e db yHo s hie ta l. , ( 1 993 ) , be c a us ewed ono te s t i ma t e t hema r ke tva l ueo ft a ng i b l ea s s e t se x c e ptl a ndandho l d i ngs e c ur i t i e s .
l
lToe s t i ma t et heva lueo fl a ndho l d i ng , webas i c a l l yf o l l o wt hepr o c e dur ede ve l o pe db yHo s hia nd Ka s bi ya p( 1 9 90 ) .
1 2
ast hepr oxyo fbus i nes sr i s k.Weaddt hel ogar i t hm o fas s e t s ( SI Z E t ot hee xpl anat o r y var i abl est oc ont r olf ort hee f f e c toff i r m s i z eonde btc ho i c e.
For i nves t i gat i ng whe t he r t he f i rm' sr e l at i o ns hi p wi t h t he r e l at i ons hi p bank i nnue ne esi t sde btc hoi c eo rnot , Wei nt r oduc es e ve raldummyvar i abl e st hatr e pr es e ntt he 丘r m' Sc o r po rat ego ve r nanc es t r uc t ure,andi nt e r ac t i o nt e r mso ft hes edummyvar i abl es wi t h DA and q. A s t henon･ pe c uni ar ybe ne f i tofmanage ri sadet e r mi nanto fde btc hoi c ei n o urhypo t hes i s , Wef oc usont heamo unto fs har e hol di ngshe l dbymai nbanksandt he e xi s t e nc eo fdi s pat c hedbankmembe r st oac l i e ntf i r m' sboar dofdi r e c t o rsf ori nt e r i m mo ni t o r i ng:t hes ef act or saf fe c tt hes t r e ngt ho ft her e l at i ons hi pbe t wee nmai nbankand c l i e ntc ompani es ,andt henon‑ pe c uni ar ybe ne f i to fmanage r .
Fr o m kal ' s ya‑ S hl ' kl ' bo ( t heJa panCompanyHandbook) , Wei de nt i f yt hè mai nbank'o f eac hf i r m bys e l e c t i ngt het opbankf r o m i t st radi ngl i s t .The nwec o ns t r uc tadummy var i a bl eequalt oonei ft hemai n banki de nt i f i edbyaf i r mi si t sl ar ges ts har e hol de ramo ng banks ,andal s odi s pat c hesi t sdi r e c t or st ot hef i r m.
12Howe ve r,t hei nf lue nc eo ft he di s pat c hed di r e c t oron f i r ms 'de btc hoi c e , ori n o t he rwo r dst heno n‑ pe c uni ar y c os t pe r c e i ve dbyf i r ms 'manage rs ,mi g h tde pe ndonhe rpos i t i onont heboar do fdi r e c t or s ,and wec annotde c i deapr i or i whi c hpos i t i oni sc r i t i c a l . Weus et wodi f f e re nts e t so fdummy var i a bl est oe xpl o r et hei nf lue nc eo ft hemai nba n k,name l y,MBlandMB2.MBli sequal t oonei ft hedi s pat c he dmanage rf r o m t hemai nbank o c c upi edt hepos i t i o n o fpl ai n di re c t o rorhi ghe ri nt hef i r m' sboar d,andz e r of o rot he rc as es ･MB2i sequalt oonei fs he o c c upi edt hepos i t i ono fe xe c ut i vedi re c t o rorhi ghe r .
Wei nt r o duc es e ve r alo t he rdummyva r ia bl e s ･SUBi se qua lt oo nei fano n･ 丘na nc i alf i r mi s t
hel ar ge s ts ha r e ho l de ro faf m a nddi s pat c he sad i r e c t o rt ot he f ir m. SUBi se xp∝t e d t o mi t i gat et hee f fe c to fde f aul tr is ka ndpr o f l t ab i l it yo nde btc ho i c e ,be c a us et he丘r m' sma na ge r c o ul de x pe c tadd i t i o nall iqui d i t yf o rbai l m go uti nt hef ac eo f丘nanc i ald i s t r e s s ･OWNi se qua l t o o newhe nt hel a r ge s ts har e ho l de ri sama nage ro fa 丘 m , he r r e l at i ve s ,o rhe rpr o pe r t y
12
Wef o l l o wt heme t ho dde ve l o pe dbyGi bs o n ( 1995) f o ri de nt i f y i ngt hema i nba n k･
1 3
ma nage me ntc o mpany . I ti si nt r o duc e d t oc o nt r o l丘) rs o meuni q uec ha r ac t e r i s t i c st hat e nt r e pr e ne ur ･ t y pemana ge r sma yha ve .
T hedi s t r ibut io no fFFO andLFO
丘r msi n t e r mso fc o r po r at eg o ve r na nc es t r uc t ur e i s s ho wni n Ta bl e3.Mo r et ha n 65 %o fFFO丘r msar ef re ef ro m e i t he rs t r ic tmo ni t o r i ngbyt he ma inba nko rl a r ges ha re ho l de r sba r e nt s丘r ms )att hee ndo fFY1 984, a ndt he r e f o r ema j o r丘r ms ar ea lr e ad yi nde pe nde nt . A ppr o x i mat e l y35% o ft heLFOf ir m ss t i nha ves t r o ngr e l at i o ns hi ps wi t ht heMB,and40% o ft he m a r eu m de rl a r ges ha r e ho l de r s ;c o ns e q ue nt l yo nl ya bo ut20%o f t
heLFO血mswe r er e l at i ve l yi nde pe nde n t .
3 . 3.Empi r i c a lz l e S u l t S
3 . 3 ･ 1 . Ri t msm' t A血 〟 血 B ndd o pt i o ns i nt he1 980 s
T her e g r e s s i o nr e s ul t sf o rFFO･ f
lr m S , Whi c hhadal lf i na nc i al o pt i o nsa vai l a bl edur i ngt hel at e 1 980 S , a res umma r i z e di n Ta bl e4. T he r ea re25丘r mso uto f1 45FFOf i r mst hatha venode bt o ut s t andi ng,o ra remi s s i ngda t aatt hee ndo fFY1 984a n dFY1 989. C ons e que nt l y ,t he r ea r e
1 20s a mpl eFf l O丘m s . T heme a no fDlat也ee ndo fFY1 984
is48%
and63%att hee ndo f1 989.
D l ' , i nc l ud i ngt hepo r t i o no fCBc o nve r t e dt oe qui t y , i s68%i n 1 989.
A
s i ss ho wni nTa bl e4, FFO一 丘m s ' c ho i c e so fde btwi t ho uti mphc i tr e s c ue･ i ns ur a nc e s ( NRI De bt )a res i g ni Bc a nt l yc o r r e l at e dt oDA, t hede bt ‑ as s e tr at i o. T her e l a t i o nbe t we e nt hei s s ueo f NRI ･ de bta nd q i sal s os i g ni Bc ant l ypos i t i ve . T hemag ni t ude so ft hee f fe c t so ft he s et wo va ri a bl e sa res i mi l a r ;ao nes t a nda r dde vi a t i o ni nc r e as ef ro m t hea ve r ageDAde c r e as e sDlb y a bo ut1 0 % ,asdo e sao nes t a nda r dde vi at i o nde c r e as eo f q. T he s er e s ul t sar ea ls os uppo r t e d whe nwec ha nget hede pe nde ntvar ia bl et oD l ' i ns t e ado fDl( c o l umn5 ) .Weus eD2i ns t e adDl t oc o mpar eo urr e s ul t swi t hHo s hie ta l . ,( 1 993 )i n whi c hnos i g ni f ic antc o r r e l at io nwasf o und.
T hes t at is t i c al l ys i g ni f i c a ntpo s i t i vec o r r e l at i o no f q a ndD2i sc o n
flr me di n o ure s t i ma t i o n , t ho ug h wedono tr e po r tt her e s ul t s . T hi sdi f fe r e nc ebe t we e no ur sa ndHos hie tal . , ( 1 993 )mi g ht s t e mf r o mt hef a c tt hato urr e s ul ti sbas e do namo r es t r i nge nts ampl es e l e c t i o npr ∝e dur ea nda l a r ge rs a mpl et ha nHo s hie ta l .( 1 993 )us e d.
Exami ni ngt hee f fe c to fc o r po r at eg o ve ma nc es t r uc t ur eo nde btc ho i c e , t hef
ir s tpo i ntt obe
1 4
no t e di st hato nl yt hec o e f E i c i e nto ft heMB2i ss i g ni f ic ant l yne gat i ve( c o l umn2 ) . T hi sme a ns t ha taf e wf ir mst ha thads t r o nge rr e l a t i o ns hi psw it h t hema i n ba nkt e nde dt opr e f e rRI ‑ de bt a mo ngt heFFO丘m st hathadal l丘na nc i alq pt i o nsa va i l a bl e . ¶ l i sr e s ul ti sc o ns i s t e ntwi t h Cambl e la ndHa mao ' S( 1 994 )f i nd i ngt hatf
mswi t h c l o s ema i n ba nkt ie sdi dno ts hi f t t he i rde bt f r o mba nkbo r r o wi ngt Obo nds .
13Se c o ndl y ,as i ss ho w n i n c o l umn3 , 4,a nd5,t hei nt e r a c t i o nt e r m be t we e nSUBa ndq
is s i gni f i c a nt , a ndi n t he s ec as e st hes l g ni f iC a nc el e ve lo ft hec o e 瓜c i e nto fDAo rqi mpr o ve s . T he r e s ul tt hatt hede btc ho i c eo faf i r m unde rapa re ntc o mpa nyi sl e s ss e ns i t i vet ot hef
lr m' S i
nve s t me nto ppo r t uni t ys ug ge s t st hats ubs i d i ar y
丘r msc o ul de x pe c taddi t i o na lhq ui d i t yf ro mt he par e ntc o mpa nywhe nt he yf a c ef i na nc i a ldi s t r e s s .
I ns ho r t ,c o ns i s t e ntwi t h o urhy po t he s i s ,e s t i ma t i o nr e s ul t sf o rFFO･ f
lr mSi ndi c at et ha t f i r msmai nl yr e l ie do ni s s ui nguns e c ur e dbo nds i ft he i rde f a ul tr i s k( i nve s t me nto ppo r t uni t y) We r el o w O l i g h) ,whe r e ast he ymai nt a ine dba nkbo r r o wi ng i ft he i rde f a ul tr i s k( i nve s t me nt o ppo r t uni t y)i shi g h ( l o w) . I . 0 0ki ngatt h i sr e s ul t f ro m t heba nki ngs e c t o r s ,t hede t e r io r at i o no f c l i e nt samo ngc i t yba nkspo s s i bl yo c c ur r e d , i n t hes e ns et ha t丘r mswi t h l o w･ de f a ul tr i s kl e f t , whi lef i r mswi t hhi g h d e f aul tr is kc o nt i nue dbo
rr o wi ngf ro mba nks .
3 . 3. 2. Fi t T 2 2 Sm' t bl t ml ' t edr manc I ' d o p
tlomsi Dt he1 980 g
T her e g r e s s i o nr e s ul t sf o rLFO･ 丘m st hati se l ig i bl et oi s s ueo n lys e c ur e dbo nd so rs e c ur e d wa r r a ntbo ndsa r es ummar iz e di n Ta bl e5. T he r ea r e5 0
{lr mSO utO ft he3 65LFOf ir mst hat ha venode bto ut s t and i ngo rha ves o memi s s i ngda t aatt hee ndo f1 984and1 989. A s ar e s ul t , we us e305s ampl ef ir ms . n l eme a nO fD2att hee ndo f1 984i s1 7%,whi c hi nc r e as eupt 038%a t t hee ndo f1 989.Co ns i de r i ngc o nve r t i bl ebo ndc o nve r t e dt oe qui t y , D2 ' i s45 %i n 1 989.
Li keFFO･
丘r ms , t heLFO･ f ir m' sc ho i c eo fl e s smo ni t o r e dde bt( s e c ur e dbo nds )i sne gat i ve l y c o r re l a t e dwi t h DA( Co l umn 1 ) . A o nes t a n da r dde vi at i o ni nc r e as ei n DA ( 0. 1 33 )i nc r e as e s de pe nde nc eo nl e s smo ni t o r e dde btby6. 7%. I nadd i t i o n, t hec oe WI C i e nto fORRSi ss i gni f ic a nt l y
13
Ho we ve r , unl i keo ura ppr o a c h,Ca mbe landHa ma o ' S( 1994) bo ndc a l c ul a t i o ni nc l ud e ss e c ur e d
15
ne ga t i ve ･Bus i ne s sr i s k al s oi nf lue nc e dde btc ho i c ea mo ngr e l at i ve l yl o w･ pe r f o r ma nc ea nd hi g hl y･ l e ve r age d LFO f i r ms . Re l at i ve l yhi g h ･ r i s k 丘r mss t 山 c o nt i nue d t or e l y o n ba nk bo r r o wmg.
m ec o e f f i c i e nto fqi si ns i g ni f i c a ntf o rLFO･ 丘m s( Co l umn1 ) . Thi sr e s ul t i ss i mi l a rt ot hat o bt a i ne dbyHo s hie ta l . ,( 1 993 ) , a nd i sq ui t edi f fe r e ntf ro mA n de r s o na ndMak hi j a( 1 999: Ta bl e 4,e s p.c o l umn5 ) ,whor e po r tas i g ni f i c a ntne ga t i vec o r r e l a t i o nbe t we e ng r o wt ho ppo r t uni t ie s a ndc ho i c eo fpubl icde bt .Wet he nt e s to urs ampl euS l ngt hes a mee xpl a na t o r yva r ia bl e sas Ande r s o n and Ma khi j a ( 1 999 ) . Ho we ve r , t he r e a ppe a rst o be no s i gni f i c a ntne gat i ve r e l a t i o ns hi pbe t we e ngr o wt h o ppo r t uni t i e s( us i ngaf i veye a ra ve r age )andt hec ho i c eo fbo nd.
T hi sr e s ul ti sa ls os uppo r t e dbyt hei nt r o d uc t i o no fgr o wt h o ppo r t uni t i e satt hee ndo fFY1 984.
14Onepo s s i bl er e as o nf o rt hi sd i f fe r e nc emi g htbet hato urs a mpl ei sdi f fe r e ntf ro m t hato f A
n de r s o na ndMak hi j a( 1 999 ) .m e ys e l e c tt he i rs a mpl e丘m sf ro m ar e as I a n dI Ii n Fi gur e1 , whe r e aswes e pa r at ea re aI If ro m ar e a I , a n ds t r i c t l ypa rt i t i o nLFO‑ hms .
Re t ur ni ngt ot hee mpi r i c alr e s ul tt hatt he r ee xi s t snos i g ni Bc a n tc o r r e l at i o nbe t we e nqa n d l e s smo ni t or e dde bt ,wec o ul dat t r i but ei tt ot hef a c tt hatLFO･ f
lr mSar eC O mpO S e do f丘m swi t h Va r i o ust y pe so fc o r po r at ego ve ma nc es t r uc t ur e s , asno t e da bo vei n s e c t io nH. Thi spo i nti sc l e
arf r o m t hef o l l o wi ngo bs e r va t i o nst hatbo t ht hei nt e r a c t i o nt e r mso fMBa ndSUBwi t h q ( DA) a r e s t a t i s t i c anys i gni f i c a nt ( C ol umn3, Co l umn4 ) . T hepo s i t i vec oe FI C i e nto ft hei nt e r a c t i o nt e r m ,q
t i me sSUB,t hat i sl e s ss l g ni Ec a ntc o mpa ri ngt ot hei nt e r a c t i o nt e r m ,q t i me sM B ,c o u ldbe e xpl a i ne dbyas i mi l ars t o r yt ot ha td i s c us s e df o rFFOf i r ms .Mo r ei mpo r t a nti st hef a c tt ha tt he i
nt e r a c t i o nt e r m o f q o rDAwi t h t hedummyvar ia bl e s , M B,i ss t at is t i c a nys i gni Bc a ntus i ng e i t he rMBlo rMB2.Us i ngMB2, t hee s t i mat e dmagni t udeo ft heqt i me sMBi nt e r ac t i o nt e r mi s 1 2. 4%w it hao nes t anda r dde vi a t i o ni nc r e as e,a ndt ha to f DA i s1 2. 5%, bo t h o fwhi c har equi t e hi g h c o mpa r e dt ot he20%i nc r e as ei n de pe nde nc eo nl e s s ･ mo ni t o r e dbo ndsd ur i ngt hi spe r i od･
T hi sr e l a t i o ni squi t er o bus twhe nwer e pl ac eD2wi t h D 2' . T hef a c tt hatt hede btc ho i c eo f丘m s
bo nds .
14
Ⅰ nt hi se s t i ma t i o n, t hes i g no fg r o wt ho ppo r t uni t i e si spo s i t i vea tt he 5
%l e ve l ･ Thef i ve ‑ ye a r a ve r a g eo fTo b i n' s q i sa ls os i g ni f i c a nt l ypo s i t i ve.
1 6
wi t h s t r o ngmai n ba nkr e l at i o ns hi psi ss e ns i t i vet ot hef
lr m' Si nve s t me nto ppo r t uni t ya nd de f aul tr iS kamo ngLFO･ 丘r msi mpl ie st hat , c o ns i s t e ntwi t ho urhy po t he s i s .
T Y l epo s i t i vec o
rr e l a t i o nbe t we e nt hef i r m' Si nve s t me nto ppo r t uni t ya ndbo ndi s s ui ng a mo ngf ir mswi t h s t r o ngma i nba nkt i e s ,ho we ve r ,c o ul dbec o ns i s t e ntwi t h mo ni t o r i ngvi e w s ugge s t e dbyDi amo nd ( 1 991 )a ndHo s hie ta l( 1 993 ) .He r e , mo ni t o r ingvi e w me a ns , f o r o ve r c o mi ngt heas ymme t r iC i nf o m at io npr o bl e mbe t we e nt hec r e d i t o r sa ndbo r r o we r , t hede g r e e o ft hemo ni t o r i ngbyr e l at i o ns hi pba nki st a ke na st hepr o o fo ft hebo r r o we r ' squal it y . T hi sal s o i mpl ie st hepos i t i vec o r r e l a t i o nbe t we e nt hef ir m' Si nve s t me nto ppo r t uni t yandbo ndi s s ui ng amo ng丘r mswi t h s t r o ngma inba nkt i e s .The n,t oi de nt i f y whe t he rt hec o r r e l at i o ns ho ul dbe a t t r i but e dt oma na ge r i ale nt r e nc hme nto rno t , wed i vi deLFOf ir msi nt ot wog r o upsac c o r d i ngt o t
hes t r e ng t h o fma i n ba nkt i e s , a ndt he nne wl yi nt r o duc ead ummyva ri abl ewhi c hr e pr e s e ntt he de g r e eo ft hepr e s s ur ef ro mS har e ho l de r s . T hi sdummyvar i a bl ei se q ua lo nei ft hepe r c e nt ageo f s ha r e she l dbys t a bl es ha r e ho l de r st owho l ei s s ue ds har ei so ve rme d i ana mo ngt ha to fa n s a mpl e s ,o t he r wi s ez e r o. T hes ha r ehe l dbys t a bl es ha r e ho l de ri sde f i ne dast heo nehe l dby f i nanc i a li ns t i t ut i o nsmi nust ha to f
tr us tba nks .
15T hehy po t he s i sbe hi ndt h i spr ∝e d ur e i s :
s uppo s et hatf ir msha ves amei nve s t me nto ppo r t uni t ya nds a mes t r o ngma i n ba nkt i e s . T he n , t hemo r ef
ir msc o u lds t a bi l i2 : et he i rs ha re ho l de r s ,t hes
tr o nge rt hei nc e nt i vef o rmanag e r ia l e nt r e nc hme ntwo ul dbe c aus eo ft hel e s smo m it o r ingf ro m s har e ho l de r s . A c c o r d i ngt ot he e s t i mat i o nr e s ul ti n Ta bl e6,t hei nt e r s e c t i o nt e n be t we e ns t a bl es ha r e ho l de rdummya nd q i s po s i t i ve .T hi sr e s ul ti sa l s os uppo r t e de ve ni fwec ha ngea no t he rs t a bl es har e ho l de rdummy c o ns i de r i ngo nno to nl yt hes ha r e ho l d i nghe l dbyf i na nc i ali ns t i t ut i o nsbutt hathe l dbyno n･
f i na nc i a l i ns t i t ut io n.Thus ,t hepo s i t i vec o r r e l at i o nbe t we e n q a n dbo ndi s s ui nga mo ngf ir ms wi t hs t r o ngma 血 ba nkt i e sr e n∝t sama na ge r i a le nt r e nc l l me nt .
No t i c et ha tt he r ea r eal o to f丘m swhi c hs a t i s f ie st hebo ndi s s uec r it e r i ae i t he rf o r uns e c ur e do rs e c ur e dbo ndsi nt hel at e1 980 S ,al t ho ug h t he ya r eo mi t t e df ro m o urs a mpl e( Se e Fi g. 2 ) .Ro ug hl ys pe a ki ng, t henumbe ro f丘m ss hi f t i ngf r o mar e a=t oar e al I i nFi g. 2i nt hel a t e
15
Whe nt hes ha r ehe l dbys t a b l es ha r e ho l d e ri sd e f i ne da st heo nehe l dbyf i na nc i a li ns t i t ut i o npl us
1 7
1 980si se s t i mat e dt obea bo ut200 , a ndf ro m
ar e a H t oar e aIt he r ea r e375.Wee xpe c tt hede bt c ho i c eo ft he s ef i r m sa l s ot obea f fe c t e db yt hema i n bankr e l a t i o ns hi pbe c aus et he丘r s t丘m s we r ei ni t i anyf unyde pe nde nto nba nkbo r r o wmg,whi let hes e c o ndg r o upo ff i r msi ni t i a l l y de pe nde do nba nkbo r r o wi ngo rbo ndi s s ua nc es e r vi c ef r o mt he i rmai nbanks .
T hee f fe c to ft hema inbanko nde btc ho i c ei mpl ie sade t e r io r at i o no fc l i e ntf ir mse xpo s t . Ma n a ge r sc ho s ede btc o ns i de r i ng丘m ' Si nve s t me nto ppo r t u n i t yandt o t a l l e ve r age .Al t ho ug h s uc hbe ha vi o ri sc o mpl e t e l yr at i o na le xa nt e ,i twasi ne vi t a bl ee xpo s tt hatf ir mswi t h l o w i
nve s t me nto ppo r t uni t yo rhi g h l e ve r ager e ma ine dc l ie nt so ft heba nks ,whi l ef ir mswi t h hi g h f ut ur epr o 丘t a bi l it yo rl o wde f a ul tr i s kl e f tt he i rc l i e ntp0 0lbe t we e nFY1 985t oFY1 989.
3 . 3 , 2.Empi r l c al z l e S u l t s i t 2地e 1990 s
T heme a n o fD , t her at i oo fNRO de btt ot o t a lde bt ,i s48. 6% a tt hee ndo f1 992,a nd i
nc r e as e supt 05 2. 6%att hee ndo f1 995.A lt ho ug h weus et hes ampl eo ft hec o mbi nat i o nf ro m FFOa ndLFO , t he5. 4%i nc r e as ei n D f o rLFO一 色r ms i ss l ig ht l yhi g he rt ha n t hato fLFO･ 丘r ms , a t
1 . 8% , whe nwed i vi det hes a mpl ei nt of o r m e rFFO andLFO f i r m s . T hema i n r e s ul t sar e s ummar iz e di n Ta bl e7.
Fi r s t , t hee f fe c to fde f a ul tr i s ko nde btc ho i c e
iss i g n
if i c a ntandi t smag ni t udei nc r e as e si n t hee a r l y1 990 S ,c o mpar e dt ot hel at e1 980S .Ao nes t a n da rdde vi at i o ni nc r e as ei n DAr a i s e s ba nkbo r r o wi ngbya bo ut9･ 1 0%. Se c o nd , a 丘 m ' sc ho i c eo fNRIde bti spo s i t i ve l yand s i g ni Bc a nt l yc o r r e l at e dwi t h q. m i sr e s ul ti she l d i fwei nc l udet hei ndus t r i a ldummi e s .m e s amer e s ul ti sa ls oc o nf ir me dwhe nwec o nf i net hes a mpl eo nl yt oLFO‑ f ir ms( c o l umn3 ) . T hi s r e s ul tc l e ar l yc o nt r as t swi t ht hef ac tt heLFO･ f
lr m' Sc ho i c ef o rl e s smo ni t o r e dde bt( s e c ur e d bo nds )i sno tc l os e l yc o r r e l a t e dwi t hqi nt hel at e1 980 S . A c c o r d i ngt ot hee s t i ma t i o nr e s ul t , ao ne s t anda r dde v iat i o ni nc r e as ei n q r ai s e st hebo ndi s s ui ngbya bo ut3･ 4%o na ve r a ge .Co mpar e dt o t
hef ac tt hatt hi s' e l as t i c i t y' i sr o ug hl yl O%i nt hel at e1 980 ' S , t hi s3･ 4%e l as t i c i t yma ys e e ml o w.
Ho we ve r ,t hei mpr e s s i o nc o ul dbed i f fe r e nt i fwec o ns i de rt ha tt he D latt hee ndo fF Y1 995
no n‑ f i na nc i a li ns t i t ut i o nmi nust r us tba nks , t her e s ul ti sa l mo s ts a measTa bl e 6.
1 8
i
nc r e as e dbyo nl y4%o na ve r agef ro mFY1 992.
T hee l as t i c i t yo fde bt ･ as s e tr at i ot ode btc ho i c eme as ur e dbyao nes t anda r dde vi at i o n c ha ngei st hr e et i me sl ar ge rt ha n t her e s po ns eo fq.Re c a ut hatt hee l as t i c i t yo fqt ode btc ho i c e i st hes a m east ha to f DA i n t hel at e1 980S . T hi sr e s ul tt he ni nd i c at e st hatt hee f fe c to fl e ve r a ge o nde btc ho i c ei n t hee ar l y1 990sbe c o me sr e l at i ve l yl ar ge rt ha n t hato f q. T hes a mer e s ul t sho l d whe nweaddi nd us t r i a l dummi e s ,o rr e s t r i c tt hes a m pl et oLFO‑ f ir ms .
16T hi sr e s ul tpr o ba bl y r e ne e t s血eg r e a te o nc e m a bo utJa pa ne s ee c o no mybymo r el e ve r a ge d丘r ms ･
Cha n gi ngo urc o nc e mst ot hee f fe c to fc o r po r a t eg o ve ma nc es t r uc t ur eo nde btc ho i c e , i ti s no t a bl et ha tanva r i a bl e ss ho wl e s ss l g n血 a nc et ode btc ho i c ee x c e pt血eC o ns t a ntdummy , MB.
Al t ho ug h MBi si ns i g ni Lc a nti n t het o t a lS a m pl e, i ti ss t a t i s t i c a l l ys i
gni f i c anta ndne gat i vewhe n wec o nf inet hes a mpl et oLFO･ f m s ,a ndt hee f fe c ti sa bo ut 6% ( s e ec o l umn 3) . 1 7 st r o ngma i n ba nkt i e si nf lue nc e dde btc ho i c eo nl yf o rs o meLFO･ f ir mst ha tar ei ne l ig i bl et oi s s ueuns e c ur e d bo ndsi n t he1 980S .
Ho we ve r , t hei nt e r a c t i o nt e r mbe t we e nt hec o r po r at ego ve ma nc ed ummi e sa nd DAo r gi s no tc o r r e l at e dwi t hhms ' de btc ho i c e .
18T hi sr e s ul ti sa ls os e e nwhe nwer e pl ac eMBIwi t hMB2 , 0 rwhe n wed i vi det hes a mpl ei nt oFFO‑ 氏r msa nd LFO‑ f
ir ms , al t ho ug h weo bs e r ve d a s i g ni f i c a ntc o r r e l a t i o nbe t we e nde btc ho i c ea ndt hei nt e r a c t i o nt e r m o fMBwi t h DA a ndqi n t he 1 980S . T hus , t her e l at i o ns hi pwi t h mai n ba nk, whi c hs t r e ngt he ne dt hee f fc x I to f DA o r q o nde bt c ho i c ei n t hel at e1 980 S ,de c r e as e si t se f fe c ti n t hee a r l y1 9 90S .Re c a 血 gt ha tt hi se f fe c to ft he mai n bankr e l at io ns hi po nde btc hoi c ei mphe dade t e r io r a t i o no fbankc l ie nt s , t h i sde t e r i o r at i o n a ppa r e nt l yc e as e dbyt hee ar l y1 990S .
5 . C o nc l us i o ns
T hehy po t he s i si nve s t i gat e di n t hi spa pe ri st hatt hef m ' sc ho i c ebe t we e nde btwi t ho ut
16
I na dd i t i o n, t hede b tc ho i c ei sc e r t a i nl ya f f e c t e db yt her a t i oo fs e c ur i t i e sho l d i ng st ot o t a la s s e t s , a l t ho ug ht her e s ul ti sno tr e po r t e di nTa bl e 6.
1
7T hes a mer e s u lti sf o undwhe nwea d dt hei nd us t r yd u mm ie s ･
18
Ⅰ ts e e mss t r a ng et ha te ve n SUB do e sno ts ho wa nys i g ni f i c a ntc o r r e l a t i o nwi t hf i r ms ' de btc ho i c e･
I ti so urf ut ur et as kt ot e s tt hi sf わ r mul aag a i nus i ngmo r ee l a bo r a t ec o r po r a t eg o ve r na nc eva r i a b l e s .
1 9
ドキュメント内
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(ページ 122-132)