EconPapers    
Economics at your fingertips  
 

Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives

Takatoshi Ito () and Kimie Harada

No 9589, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks of Japanese banks has not necessarily disappeared. Other indicators show varying degrees of fragility among Japanese banks in 1998-2001. Banking stock prices continue to slide compared to the market-wide stock price index. From pricing of credit derivatives, default probabilitie of banks can be etracted. Correlations among indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium with a significant, positive coefficient. The higher the CDS is, lower go the stock prices. Before the capital injection of 1999, the markets were more sensitive to bank vulnerability and higher premiums were required

JEL-codes: G10 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn
Date: 2003-03
Note: IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published as Ito, Takatoshi and Kimie Harada. "Credit Derivatives Premium As A New Japan Premium," Journal of Money, Credit and Banking, 2004, v36(5,Oct), 965-968.

Downloads: (external link)
http://www.nber.org/papers/w9589.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:9589

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w9589

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-08-11
Handle: RePEc:nbr:nberwo:9589