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U.S. and U.K. competitors. This so-called Japan premium' provides a market indicator of investor anxiety about the … ability of Japanese banks to repay loans. We examine the determinants of the Japan premium and find that government … Japanese government, such as injections of funds into the banking system, tended to have an effect on the size of the Japan …
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Money market microstructure is fundamental to studying bank behaviour, to evaluating monetary policy and to assessing the financial stability of the system. Given the lack of granular data on interbank loans, Furfine (1999) proposed an algorithm to estimate the microstructure using data from the...
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This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR)...
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