Determinants of the Japan premium: actions speak louder than words
Since 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.
|Date of creation:||1998|
|Contact details of provider:|| Postal: 600 Atlantic Avenue, Boston, Massachusetts 02210|
Web page: http://www.bos.frb.org/
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert N. McCauley & Stephen Yeaple, 1994. "How lower Japanese asset prices affect Pacific financial markets," Quarterly Review, Federal Reserve Bank of New York, issue Spr, pages 19-33.
- Peek, Joe & Rosengren, Eric S, 1997.
"The International Transmission of Financial Shocks: The Case of Japan,"
American Economic Review,
American Economic Association, vol. 87(4), pages 495-505, September.
- Joe Peek & Eric S. Rosengren, 1996. "The international transmission of financial shocks: the case of Japan," Working Papers 96-1, Federal Reserve Bank of Boston.
- Joe Peek & Eric S. Rosengren, 1996. "The International Transmission of Financial Shocks: The Case of Japan," Boston College Working Papers in Economics 357, Boston College Department of Economics.
- Hoshi, Takeo & Kashyap, Anil & Scharfstein, David, 1990. "The role of banks in reducing the costs of financial distress in Japan," Journal of Financial Economics, Elsevier, vol. 27(1), pages 67-88, September.
- Takeo Hoshi & Anil Kashyap & David Scharfstein, 1990. "The Role of Banks in Reducing the Costs of Financial Distress in Japan," NBER Working Papers 3435, National Bureau of Economic Research, Inc.
- Daniel E. Nolle & Rama Seth, 1996. "Do banks follow their customers abroad?," Research Paper 9620, Federal Reserve Bank of New York.
- Kidwell, David S & Trzcinka, Charles A, 1982. " Municipal Bond Pricing and the New York City Fiscal Crisis," Journal of Finance, American Finance Association, vol. 37(5), pages 1239-1246, December.
- Kang, Jun-Koo & Stulz, Rene M, 2000. "Do Banking Shocks Affect Borrowing Firm Performance? An Analysis of the Japanese Experience," The Journal of Business, University of Chicago Press, vol. 73(1), pages 1-23, January.
- Gibson, Michael S, 1995. "Can Bank Health Affect Investment? Evidence from Japan," The Journal of Business, University of Chicago Press, vol. 68(3), pages 281-308, July.
- Elijah Brewer & Hesna Genay & William C. Hunter & George G. Kaufman, 1999. "Does the Japanese stock market price bank risk? evidence from bank failures," Proceedings 638, Federal Reserve Bank of Chicago.
- Eric S. Rosengren & Joe Peek, 2000. "Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States," American Economic Review, American Economic Association, vol. 90(1), pages 30-45, March.
- Joe Peek & Eric S. Rosengren, 2002. "Japanese Banking Problems: Implications for Southeast Asia," Central Banking, Analysis, and Economic Policies Book Series,in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 10, pages 303-332 Central Bank of Chile.
- Joe Peek & Eric S. Rosengren, 1998. "Japanese banking problems: implications for Southeast Asia," Working Papers 98-7, Federal Reserve Bank of Boston.
- Joe Peek Eric & S. Rosengren, 2001. "Japanese Banking Problems: Implications For Southeast Asia," Working Papers Central Bank of Chile 121, Central Bank of Chile.
- Kidwell, David S. & Trzcinka, Charles A., 1983. "The Impact of the New York City Fiscal Crisis on the Interest Cost of New Issue Municipal Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(03), pages 381-399, September.
- Allen B. Frankel & Paul B. Morgan, 1992. "Deregulation and competition in Japanese banking," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 579-593.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:fip:fedbwp:98-9. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Catherine Spozio)
If references are entirely missing, you can add them using this form.