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 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...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency...

Foreign exchange (FX) derivatives markets in the Korean won are comparatively thin and vulnerable to impaired functioning. During the crisis, Korea faced dislocations in its FX swap and cross-currency swap markets, so severe that covered interest parity (CIP) between the Korean won and the US...

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...

Since the 1990s, fund raising behavior of Japanese companies has significantly changed. We conducted empirical studies based on the companies listed on the First Section of the Tokyo Stock Exchange. Our findings can be summarized as follows. (i) The debt-equity ratio of companies with relatively...

As short-term interest rates have become higher and more volatile since the end of the quantitative easing policy in March 2006, an interest rate swap, referred to as an OIS (Overnight Index Swap), which exchanges the uncollateralized overnight call rate over a specified period and a certain...

Since the financial instability during 1997-98 subsided, the Japanese corporate bond market has seen a substantial narrowing of credit spreads under the strong monetary easing by the Bank of Japan. With the narrowing of credit spreads, bond investors seem to have become cautious of a large...

Interest rates on Japanese government bonds (JGBs) fluctuated widely in 2003. The interest rate on 10-year JGBs gradually declined from the beginning of 2003, reaching the mid 0.4% range in June. But then, interest rates rose sharply (i) from late June to early July and (ii) from late August to...

Transactions in the yen money markets have become active since the end of the quantitative easing policy (QEP) in March 2006. In particular, transactions by foreign financial institutions have been increasing in the offshore markets including the FX swap and euroyen deposit markets, as well as...