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Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies

Harada, Kimie - 2010

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

Did the Reform Fix the London Fix Problem?

Ito, Takatoshi - 2017

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

Was the Forex Fixing Fixed?

Ito, Takatoshi - 2015

, 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

Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-day Activity Revealed in the Electronic Broking System

Ito, Takatoshi - 2004

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

The Yield Curve, Recessions and the Credibility of the Monetary Regime : Long Run Evidence 1875-1997

Bordo, Michael D. - 2004

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

Good versus Bad Deflation : Lessons from the Gold Standard Era

Bordo, Michael D. - 2004

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

Why didn't France follow the British Stabilization after World War One?

Bordo, Michael D. - 2003

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

Puzzles in the Forex Tokyo “Fixing” : Order Imbalances and Biased Pricing by Banks

Ito, Takatoshi - 2016

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

Central Bank Credibility : An Historical and Quantitative Exploration

Bordo, Michael D. - 2015

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

Sterling in crisis : 1964-1967

Bordo, Michael D. - 2009

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