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From turmoil to crisis: dislocatios in the FX swap market before and after the failure of Lehman Brothers

Baba, Naohiko; Packer, Frank - 2009

Persistent link: https://www.econbiz.de/10003862655

Interpreting deviations from covered interest parity during the financial market turmoil of 2007 - 08

Baba, Naohiko; Packer, Frank - 2008

Persistent link: https://www.econbiz.de/10003847584

Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08

Baba, Naohiko; Packer, Frank - In: Journal of banking & finance 33 (2009) 11, pp. 1953-1962

Persistent link: https://www.econbiz.de/10003892128

From turmoil to crisis : dislocations in the FX swap market before and after the failure of Lehman Brothers

Baba, Naohiko; Packer, Frank - In: Journal of international money and finance 28 (2009) 8, pp. 1350-1374

Persistent link: https://www.econbiz.de/10003929180

The spillover of money market turbulence to FX swap and cross-currency swap markets

Baba, Naohiko; Packer, Frank; Nagano, Teppei - In: BIS quarterly review : international banking and … (2008), pp. 73-86

Persistent link: https://www.econbiz.de/10003669968

From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

Baba, Naohiko - 2013

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...

Persistent link: https://www.econbiz.de/10013095699

Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil

Baba, Naohiko - In: The journal of fixed income 18 (2008/09) 4, pp. 24-38

Persistent link: https://www.econbiz.de/10003848031

When and how US dollar shortages evolved into the full crisis? : evidence from the cross-currency swap market

Baba, Naohiko; Sakurai, Yuji - In: Journal of banking & finance 35 (2011) 6, pp. 1450-1463

Persistent link: https://www.econbiz.de/10009244966

When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market

Baba, Naohiko - 2009

This paper investigates when and how the US dollar shortage problem evolved into the full crisis during the financial turmoil that started in the summer of 2007, using cross-currency swap prices between three European currencies (EUR, GBP, and CHF) and USD. We employ the dynamic global (latent)...

Persistent link: https://www.econbiz.de/10013157001

To err is human : rating agencies and the interwar foreign government debt crisis

Flandreau, Marc; Gaillard, Norbert; Packer, Frank - 2010

Persistent link: https://www.econbiz.de/10008904002