Determinants of the Japan premium: actions speak louder than words

Joe Peek and Eric Rosengren ()

No 98-9, Working Papers from Federal Reserve Bank of Boston

Abstract: Since August 1995, Japanese banks have had to pay a premium on Eurodollar and Euroyen interbank loans relative to their U.S. and U.K. competitors. This so-called \"Japan premium\" provides a market indicator of investor anxiety about the ability of Japanese banks to repay loans. We examine the determinants of the Japan premium and find that events indicating concrete actions by the Japanese government reduced the Japan premium. We find that the failure of Yamaichi Securities, which was characterized by large undisclosed losses, contributed to increases in the Japan premium, while the failure of Hokkaido Takushoku did not.

Keywords: Banks and banking, International; Banks and banking - Japan; Bank loans (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Determinants of the Japan premium: actions speak louder than words (2001)
Working Paper: Determinants of the Japan Premium: Actions Speak Louder Than Words (1999)
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