This paper investigates empirically the relations between changes in volatilities of holding period returns on JGBs and changes in U.S. interest rates and the yen/dollar exchange rate. Weekly and quarterly holding period returns are constructed for the period March 1986 through May 1988. Then...

This paper examines the recent period of relatively low credit spreads in Japan, with particular emphasis on the marketfs assessments of the credit risks of large Japanese banks implicit in the prices of credit derivatives. We extract the market-price implied likelihood of a credit event in the...