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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

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

Price discovery from cross-currency and FX swaps : a structural analysis

Amatatsu, Yasuaki; Baba, Naohiko - 2008

Persistent link: https://www.econbiz.de/10003847561

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

Price discovery from cross-currency and FX swaps : a structural analysis

Amatatsu, Yasuaki (contributor); Baba, Naohiko (contributor) - 2007

Persistent link: https://www.econbiz.de/10003502991

Dislocations in the won-dollar swap markets during the crisis of 2007 - 09

Baba, Naohiko; Shim, Ilhyock - 2011

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...

Persistent link: https://www.econbiz.de/10009229166

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