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...

This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...

This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...

In this article, we investigate the role of US macroeconomic variables as leading indicators of regime shifts in the VIX index using a regime-switching approach. We find that there are three distinct regimes in the VIX index during the 1990 to 2010 period: tranquil regime with low volatility,...

This paper attempts to test the "reach for yields" hypothesis in the Japanese bond markets to explore the cause of extremely low credit spreads on Japanese bonds, especially BBB-rated bonds, using a three-factor CAPM ([gamma]-CAPM) with (co)skewness as an additional market risk factor. Under the...

This paper investigates the impact of the increased presence of foreign investors on the dividend policy of Japanese firms. A choice-to-pay model, estimated with a random-effects binary probit method, shows that a higher level of foreign ownership is associated with a significantly higher...

ABSTRACT We analyse dislocations in the foreign exchange swap and cross‐currency swap markets between Korean won and US dollar from 2007 to 2009. A regime‐switching analysis of deviations from covered interest parity (CIP) identifies a crisis period starting in June 2007. Using an EGARCH...

Repurchase Agreements (Repo) transactions are widely used as a risk-free means of raising or investing funds. Repo transactions can be categorized into the following two types: (i) general repos whose purpose is to borrow or lend funds, and (ii) special repos whose purpose is to borrow or lend...