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)...

This paper attempts to extract market expectations about the Japanese economy and the BOJ's policy stance from the yen yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in March 2006. We use (i) the swap yield curves augmented...

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...

Since the 1990s, fund raising behavior of Japanese companies has significantly changed. We conducted empirical studies based on the companies listed on the First Section of the Tokyo Stock Exchange. Our findings can be summarized as follows. (i) The debt-equity ratio of companies with relatively...

As short-term interest rates have become higher and more volatile since the end of the quantitative easing policy in March 2006, an interest rate swap, referred to as an OIS (Overnight Index Swap), which exchanges the uncollateralized overnight call rate over a specified period and a certain...

Since the financial instability during 1997-98 subsided, the Japanese corporate bond market has seen a substantial narrowing of credit spreads under the strong monetary easing by the Bank of Japan. With the narrowing of credit spreads, bond investors seem to have become cautious of a large...

Interest rates on Japanese government bonds (JGBs) fluctuated widely in 2003. The interest rate on 10-year JGBs gradually declined from the beginning of 2003, reaching the mid 0.4% range in June. But then, interest rates rose sharply (i) from late June to early July and (ii) from late August to...

Transactions in the yen money markets have become active since the end of the quantitative easing policy (QEP) in March 2006. In particular, transactions by foreign financial institutions have been increasing in the offshore markets including the FX swap and euroyen deposit markets, as well as...

The Senior Loan Officer Opinion Survey on bank lending practices at large Japanese banks (hereafter the 'loan survey') provides us with quantitative information on banks' views on the funding needs of firms and households as well as their own lending attitudes, which could not be grasped from...