Determinants of the Japan premium: actions speak louder than words
AbstractSince August 1995, Japanese banks have had to pay a premium on Eurodollar and Euroyen interbank loans relative to their 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 events indicating concrete actions by the Japanese government reduced the Japan premium. We find that the failure of Yamaichi Securities, which was characterized by large undisclosed losses, contributed to increases in the Japan premium, while the failure of Hokkaido Takushoku did not.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Boston in its series Working Papers with number 98-9.
Date of creation: 1998
Date of revision:
Other versions of this item:
- Peek, Joe & Rosengren, Eric S., 2001. "Determinants of the Japan premium: actions speak louder than words," Journal of International Economics, Elsevier, vol. 53(2), pages 283-305, April.
- Joe Peek & Eric S. Rosengren, 1999. "Determinants of the Japan Premium: Actions Speak Louder Than Words," NBER Working Papers 7251, National Bureau of Economic Research, Inc.
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
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