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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

Charles Goodhart's Contributions to the History of Monetary Institutions

Bordo, Michael D. - 2002

Our paper examines Charles Goodhart's work on the history of monetary institutions: central bank operations under the gold standard, their behaviour in relation to the financial system in which they functioned, including their responses to banking crises, and their performance as lenders of last...

Persistent link: https://www.econbiz.de/10012469998

Aggregate Price Shocks and Financial Stability : The United Kingdom 1796-1999

Bordo, Michael D. - 2001

This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find...

Persistent link: https://www.econbiz.de/10012470133

The Inter-War Gold Exchange Standard : Credibility and Monetary Independence

Bordo, Michael D. - 2001

In this paper we analyze the operation of the inter-war gold exchange standard to see if the evident credibility of the system conferred on participating central banks the ability to pursue independent monetary policies. To answer this question we econometrically analyze two key parity, or...

Persistent link: https://www.econbiz.de/10012470290

Violations of the `Rules of the Game' and the Credibility of the Classical Gold Standard, 1880-1914

Bordo, Michael D. - 1997

This paper examines the recently noted finding that the Classical gold standard represented a credible, well-behaved target zone system from the perspective of the well-documented failure of countries to play by the rules of the game in the classical period. In particular, we test an hypothesis...

Persistent link: https://www.econbiz.de/10012472699

Getting Pegged : Comparing the 1879 and 1925 Gold Resumptions

Bordo, Michael D. - 1996

We compare the resumption of convertibility into gold by the United States in 1879 and Britain in 1925 to ascertain the degree to which the outcomes reflected differences in strategies adopted by the authorities or in the external environment. It is concluded that external factors were the most...

Persistent link: https://www.econbiz.de/10012473362

The Common Development of Institutional Change as Measured by Income Velocity : A Century of Evidence from Industrialized Countries

Bordo, Michael D. - 1993

Previous evidence, most recently by Bordo and Jonung (1990) and Silclos (1988b, 1991), has shown on a country-by-country basis that proxies for institutional change significantly improve our understanding of the long-run behaviour of velocity and. consequently, of the demand for money. If...

Persistent link: https://www.econbiz.de/10012474574

British and French Finance During the Napoleonic Wars

Bordo, Michael D. - 1990

The Napoleonic Wars offer an experiment unique in the history of wartime finance. While Britain was forced off the gold standard and endured a sustained inflation, France remained on a bimetallic standard for the war's duration. For wars of comparable length and intensity in the nineteenth and...

Persistent link: https://www.econbiz.de/10012475516