This paper evaluates professional forecasters’ behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock–bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond...

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...

This paper empirically investigates the determinants of subordinated debt issuance by Japanese regional banks during the period of 2000-2007 using a probit model. The empirical results suggest the following. (i) Throughout the period, Japanese regional banks with a lower capital ratio tended to...

This paper investigates the determinants and dynamics of subordinated credit spreads for Japanese mega-banks using the bond and credit default swap (CDS) spreads. The main findings are as follows. Subordinated bond and CDS spreads are cointegrated in most cases, and the CDS spread plays a more...

This paper investigates the impact of the increased presence of foreign investors on the dividend policy of Japanese firms. A choice-to-pay model, estimated with a random-effects binary probit method, shows that a higher level of foreign ownership is associated with a significantly higher...

This paper attempts to test the "reach for yields" hypothesis in the Japanese bond markets to explore the cause of extremely low credit spreads on Japanese bonds, especially BBB-rated bonds, using a three-factor CAPM ([gamma]-CAPM) with (co)skewness as an additional market risk factor. Under the...

This paper investigates when and how the US dollar shortages evolved into the full crisis in the cross-currency swap market between major European currencies and the US dollar during the turmoil of 2007-2009, using the dynamic factor model with regime-switching [beta] coefficients of each swap...

This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...