Showing 1 - 10 of 12
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...
Persistent link: https://www.econbiz.de/10003826016
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...
Persistent link: https://www.econbiz.de/10011605026
Persistent link: https://www.econbiz.de/10003848031
Persistent link: https://www.econbiz.de/10003981327
Persistent link: https://www.econbiz.de/10010471898
During the financial crisis, Korea responded to dislocations in the FX swap market by both drawing on its swap line with the Federal Reserve and using its own international reserves to provide dollars to domestic banks. We show that the Bank of Korea's use of the Fed swap line was very effective...
Persistent link: https://www.econbiz.de/10013094595
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...
Persistent link: https://www.econbiz.de/10009248819
This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency...
Persistent link: https://www.econbiz.de/10009248829
The market for credit derivatives, or financial contracts whose payoffs are linked to changes in the credit quality of a reference asset, has expanded dramatically in recent years. According to the 2002 Credit Derivatives Report of the British Bankers' Association, the credit derivatives market...
Persistent link: https://www.econbiz.de/10013092002
Persistent link: https://www.econbiz.de/10003401256