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Predicting regime switches in the VIX index with macroeconomic variables

Baba, Naohiko; Sakurai, Yuji - In: Applied economics letters 18 (2011) 13/15, pp. 1415-1419

Persistent link: https://www.econbiz.de/10009347993

When and how US dollar shortages evolved into the full crisis? : evidence from the cross-currency swap market

Baba, Naohiko; Sakurai, Yuji - In: Journal of banking & finance 35 (2011) 6, pp. 1450-1463

Persistent link: https://www.econbiz.de/10009244966

When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market

Baba, Naohiko - 2009

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)...

Persistent link: https://www.econbiz.de/10013157001

Are stock repurchases more flexible than dividends? : the case of Japanese firms

Baba, Naohiko; Ueno, Yoichi - In: Applied financial economics letters 4 (2008) 4/6, pp. 315-318

Persistent link: https://www.econbiz.de/10003807710

How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?

Sakurai, Yuji - In: Journal of international financial markets, … 75 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012820927

Linkage between Wage and Price Inflation in Japan

Ueno, Yoichi - 2024

Persistent link: https://www.econbiz.de/10015052702

Term structure models with negative interest rates

Ueno, Yoichi - 2017

Persistent link: https://www.econbiz.de/10013273225

Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?

Sakurai, Yuji; Kurosaki, Tetsuo - In: Quantitative finance 22 (2022) 12, pp. 2219-2236

Persistent link: https://www.econbiz.de/10013490939

Interest Rate Risk in the U.S. Banking Sector

Abdymomunov, Azamat; Gerlach, Jeff; Sakurai, Yuji - 2023

We study interest rate risk at U.S. banks by measuring the impact of interest rate changes on banks' earnings and net worth. Changes in interest rates affect (i) future earnings by altering income and expenses from rate-sensitive assets and liabilities and (ii) current net worth by altering the...

Persistent link: https://www.econbiz.de/10014355947

Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?

Sakurai, Yuji; Kurosaki, Tetsuo - In: Research in international business and finance 65 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014436112