In this paper, we analyze the optimal asset composition ratio of stocks and bonds for a bank taking into consideration the correlation between the interest rate risk and equity risk in the financial capital market using a portfolio model. The analysis reveals that in determining the asset...

Stockholdings by Japan's banks have been a factor undermining their profits. Along with the holding of particular firms' stocks, banks have extended a large amount of loans to those firms. Banks would suffer losses on both loans and stocks if such firms defaulted. Moreover, banks have increased...

Japanese life insurance companies hold a large amount of Japanese government bonds (JGBs) as long-term investments. Recently, their holdings of super-long-term JGBs have been increasing especially significantly, and the presence of life insurance companies in the super-long-term JGB market has...

The financial activity index (FAIX) introduced in this paper is a selection of financial indicators that borrow from prior literature on early bubble warnings and are particularly adept at explaining the bubble occurred in Japan starting in the 1980s. Our index comprises 10 financial indicators...