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A reexamination of ex ante pricing of currency risk in the Japanese stock market : a pricing kernel approach

Baba, Naohiko - 2000

Persistent link: https://www.econbiz.de/10001452593

Exploring the role of money in asset pricing in Japan : does monetary consideration significantly improve the empirical performance of C-CAPM?

Baba, Naohiko - 2000

Persistent link: https://www.econbiz.de/10001495532

Exploring the role of money in asset pricing in Japan : monetary considerations and stochastic discount factors

Baba, Naohiko - In: Monetary and economic studies 18 (2000) 2, pp. 159-198

Persistent link: https://www.econbiz.de/10001539632

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

Dislocations in the won-dollar swap markets during the crisis of 2007 - 09

Baba, Naohiko; Shim, Ilhyock - 2011

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...

Persistent link: https://www.econbiz.de/10009229166