Using term structure data of Credit Default Swap (CDS) spreads for the four Japanese mega-banks and the government, we jointly estimate the default intensity and expected recovery (loss) given a default. In doing so, we attempt to further identify the difference in the expected recovery ratios...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by...

We study the term structure of interest rates and monetary policy in Japan empirically, using a macro-finance model. In particular, we investigate whether or not Japan's low long-term interest rates can be explained with economic rationality by taking into account some key features of the...

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...

This paper investigates the macroeconomic sources of time-varying risk premia in Turkish REIT industry within the arbitrage pricing theory framework. Turkish REIT industry differs substantially from the global REIT market as Turkish REITs do not have to pay out dividends, yet enjoy the exemption...

Bu çalışma Türkiye’deki yatırımcıların hise senedi alım-satım davranışlarını analiz etmektedir. Bu analiz için 55 sorudan oluşan bir anket 85 kişi üzerinde uygulanmıştır ve yatırımcıların verdikleri cevaplar esas alınmıştır. Anket demografik özellikler, algılanan...

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

Bu çalışmanın amacı Fama ve French üç faktör modeline momentum faktörünün eklenmesiyle oluşturulan dört faktör modelinin İMKB’de hisse senedi getirilerini açıklama gücünün test edilmesidir. Çalışma Temmuz 1992 – Haziran 2008 döneminde (192 ay) İMKB’ye kote olmuş...