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Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....
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This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative...
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financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of …
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This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve … yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the … increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …
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