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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives

Ito, Takatoshi - 2010

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and … credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium …

Persistent link: https://www.econbiz.de/10012762833

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

Ito, Takatoshi - 2016

“Fixing” in the foreign exchange market is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail...

Persistent link: https://www.econbiz.de/10012979362

Why Has the Yen Failed to Become a Dominant Invoicing Currency in Asia? A Firm-Level Analysis of Japanese Exporters' Invoicing Behavior

Ito, Takatoshi - 2010

It has been a well-known puzzle why the yen has not been used more in trade invoicing among Japanese exporters. Despite the yen's status as an only fully convertible currency in Asia, two patterns stand out as puzzling features of an excessively small share of yen invoicing: First, a strong...

Persistent link: https://www.econbiz.de/10013139736

Two Decades of Japanese Monetary Policy and the Deflation Problem

Ito, Takatoshi - 2012

of Japan's rhetoric was not helpful in fighting deflation, and the interest rate hike in August 2000 amid deflation was a …

Persistent link: https://www.econbiz.de/10013100365

Defying Gravity : How Long Will Japanese Government Bond Prices Remain High?

Hoshi, Takeo - 2012

Recent academic papers have shown that the Japanese sovereign debt situation is not sustainable. The puzzle is that the bond rate has remained low and stable. Some suggest that the low yield can be explained by domestic residents' willingness to hold Japanese government bonds (JGBs) despite its...

Persistent link: https://www.econbiz.de/10013102193

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate : High-Resolution Picture

Hashi, Yuko - 2010

-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment …

Persistent link: https://www.econbiz.de/10013152611

On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market

Canova, Fabio - 2008

The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no...

Persistent link: https://www.econbiz.de/10012774551

Japan Premium and Stock Prices : Two Mirrors of Japanese Banking Crises

Ito, Takatoshi - 2001

market. Two indicators, the Japan premium and the stock price index of the banking sector in Tokyo, were examined … Japan Premium most were the Daiwa Bank incidence in the fall of 1995, failures of large financial institutions in November …-movement relationship at around the summer of 1995. (5) News that affected Japan premium and bank stocks are sometimes different. The bank …

Persistent link: https://www.econbiz.de/10012787958

Impacts of the Basle Capital Standard on Japanese Banks' Behavior

Ito, Takatoshi - 2000

This paper examines how the risk based capital standards, the so-called Basle Accord between 1990 and 1993. As the Japanese stock prices fell, banks' latent capital gains, which are part of tier II capital, became smaller. Empirical findings are consistent with a view that banks with lower...

Persistent link: https://www.econbiz.de/10012788984

Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks

Harada, Kimie - 2010

In the late 1990s, several large Japanese banks failed for the first time in its postwar history. As the financial environment was deteriorating further, several remaining banks decided to merge among themselves, presumably, to make their operations more efficient to avoid failures. This paper...

Persistent link: https://www.econbiz.de/10012758112