Showing 1 - 10 of 20
This paper examines the movements of the Distance to Default (DD), a market-based measure of corporate default risk, of eight failed Japanese banks in order to evaluate the predictive power of the DD measure for bank failures. The DD became smaller in anticipation of failure in many cases. The...
Persistent link: https://www.econbiz.de/10012462475
This paper examines the consequences of the 2015 reform on the London fixing in the interbank forex market, which …
Persistent link: https://www.econbiz.de/10012455354
, and at 4:00 pm London time for transactions between European and US banks and their customers. The two fixings have … different regulations and institutions. The London fix is calculated as a median price during the one minute window around 4 … banks for collusive behaviors to manipulating the price around the London fixing time. It has been mentioned in the media …
Persistent link: https://www.econbiz.de/10012457150
three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late …
Persistent link: https://www.econbiz.de/10012467833
This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, particularly across...
Persistent link: https://www.econbiz.de/10012468262
Deflation has had a bad rap, largely based on the experience of the 1930's when deflation was synonymous with depression. Recent experience with declining prices in Japan and China together with the concern over deflation in Europe and the United States has led to renewed attention to the topic...
Persistent link: https://www.econbiz.de/10012468365
We show that the size of the public debt, the budget deficit and the monetary overhang made it impossible for France to stabilize its price level and return to the pre-war parity immediately after World War I, even on the anti-keynesian assumption that a stabilization would not have had any...
Persistent link: https://www.econbiz.de/10012468837
scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange … than in the London fixing. (2) The customer orders are biased toward buying the foreign currencies, which is predictable …
Persistent link: https://www.econbiz.de/10012455860
In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...
Persistent link: https://www.econbiz.de/10012457842
We provide the first econometric study of foreign exchange market intervention for the UK during the sterling crises from 1964-1967. We use daily data on spot and forward dollar/sterling exchange rates and reserve movements which allows a more precise description of the loss of credibility...
Persistent link: https://www.econbiz.de/10012463992