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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08

Baba, Naohiko; Packer, Frank - In: Journal of banking & finance 33 (2009) 11, pp. 1953-1962

Persistent link: https://www.econbiz.de/10003892128

From turmoil to crisis : dislocations in the FX swap market before and after the failure of Lehman Brothers

Baba, Naohiko; Packer, Frank - In: Journal of international money and finance 28 (2009) 8, pp. 1350-1374

Persistent link: https://www.econbiz.de/10003929180

Interpreting deviations from covered interest parity during the financial market turmoil of 2007 - 08

Baba, Naohiko; Packer, Frank - 2008

Persistent link: https://www.econbiz.de/10003847584

From turmoil to crisis: dislocatios in the FX swap market before and after the failure of Lehman Brothers

Baba, Naohiko; Packer, Frank - 2009

Persistent link: https://www.econbiz.de/10003862655

From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

Baba, Naohiko - 2013

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...

Persistent link: https://www.econbiz.de/10013095699

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

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

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

Baba, Naohiko; Shim, Ilhyock - In: Volatile capital flows in Korea : current policies and …, (pp. 143-176). 2014

Persistent link: https://www.econbiz.de/10010467510

Dislocations in the won-dollar swap markets during the crisis of 2007 - 2009

Baba, Naohiko; Shim, Ilhyock - In: International journal of finance & economics : IJFE 19 (2014) 4, pp. 279-302

Persistent link: https://www.econbiz.de/10010471898

Price discovery from cross-currency and FX swaps : a structural analysis

Amatatsu, Yasuaki; Baba, Naohiko - 2008

Persistent link: https://www.econbiz.de/10003847561