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Baba, Naohiko

Overview
Works: 18 works in 69 publications in 1 language and 341 library holdings
Classifications: HG201, 332.4952
Publication Timeline
Key
Publications about Naohiko Baba
Publications by Naohiko Baba
Most widely held works by Naohiko Baba
Markup pricing and monetary policy : a reexamination of the effectiveness of monetary policy under imperfect competition by Naohiko Baba( Book )
5 editions published in 1997 in English and held by 35 libraries worldwide
A note on hedging incentives for managers : an application of the principal-agent framework to risk management by Naohiko Baba( Book )
4 editions published in 2000 in English and held by 26 libraries worldwide
Testing the ex ante relationship between asset and investment returns in Japan : an application of the P-CAPM to the Japanese asset returns by Naohiko Baba( Book )
4 editions published in 2000 in English and held by 25 libraries worldwide
Empirical studies on the recent decline in bank lending growth : an approach based on asymmetric information by Naohiko Baba( Book )
2 editions published in 1996 in English and held by 25 libraries worldwide
Japan's financial system : its perspective and the authorities' role in redesigning and administering the system by Naohiko Baba( Book )
6 editions published in 2002 in English and held by 25 libraries worldwide
Uncertainty, monitoring costs, and private banks' lending decisions in a duopolistic loan market : a game-theoretic real options approach by Naohiko Baba( Book )
4 editions published in 2000 in English and held by 25 libraries worldwide
Japan's deflation, problems in the financial system and monetary policy ( Book )
4 editions published in 2005 in English and held by 25 libraries worldwide
"On 18-19 June 2004, the BIS held a conference on 'Understanding Low Inflation and Deflation'. This event brought together central bankers, academics and market practitioners to exchange views on this issue (see the conference programme in this document). This paper was presented at the workshop. The views expressed are those of the author(s) and not those of the BIS."
Dislocations in the won-dollar swap markets during the crisis of 2007-09 by Naohiko Baba( Book )
7 editions published in 2011 in English and held by 23 libraries worldwide
"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 dollar was seriously violated. Using a variation of the EGARCH model, we find that global market uncertainty - as proxied by VIX, the volatility index - was the main factor explaining the movement of deviations from CIP in the three-month FX swap market during the crisis period. The credit risk of Korean banks - as proxied by their credit default swap spread - was also a significant factor explaining deviations from CIP in the three-year cross-currency swap market before the crisis, while the credit risk of US banks was significant during the crisis period. The Bank of Korea's provision of funds using its own foreign reserves was not effective in reducing deviations from CIP, but the Bank of Korea's loans of the US dollar proceeds of swaps with the US Federal Reserve were effective. This is because the loans funded by swaps with the US Federal Reserve effectively added to Korea's foreign reserves and enhanced market confidence."--Abstract
Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08 by Naohiko Baba( Book )
6 editions published in 2008 in English and held by 23 libraries worldwide
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 the turmoil are found to be significantly associated with differences in the counterparty risk between European and US financial institutions. Furthermore, evidence is found that dollar term funding auctions by the ECB, supported by dollar swap lines with the Federal Reserve, have stabilized the FX swap market by lowering the volatility of deviations from CIP
Determinants of subordinated debt issuance by Japanese regional banks by Naohiko Baba( Book )
4 editions published in 2007 in English and held by 22 libraries worldwide
"This paper empirically investigates the determinants of subordinated debt issuance by Japanese regional banks during the period 2000-2005 using a probit model. The empirical results suggest the following: (i) Throughout the period, Japanese regional banks with a lower capital/asset ratio have a higher incentive to issue subordinated debts because they are counted as Tier 2 capital under the Basel Accord. (ii) During the period of instability in the Japanese banking system (2000-2003), investors tended to intensively use financial variables such as the non-performing loan ratio, ROA, and total deposits outstanding to screen good banks for their investments in the subordinated debts. (iii) During the period after the banking system regained stability (2004-2005), investors tended to pay less attention to the above variables due mainly to the mitigated default risk of these banks."--Authors' abstract
From turmoil to crisis : dislocations in the FX swap market before and after the failure of Lehman Brothers by Naohiko Baba( Book )
5 editions published in 2009 in English and held by 22 libraries worldwide
"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 US financial institutions (as well as that of European institutions), consistent with the deepening of a dollar liquidity problem into a global phenomenon. US dollar term funding auctions by the ECB, SNB, and BoE, as well as the US Federal Reserve commitment to provide unlimited dollar swap lines are found to have ameliorated the FX swap market dislocations."--Abstract
Price discovery from cross-currency and FX swaps : a structural analysis by Yasuaki Amatatsu( Book )
6 editions published between 2008 and 2009 in English and held by 22 libraries worldwide
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 swap market plays a much more dominant role in price discovery than the FX swap market; and (ii) FX swap prices tend to under react to changes in the efficient price, while cross-currency swap prices react almost entirely to them
Financial market functioning and monetary policy : Japan's experience by Naohiko Baba( Book )
4 editions published in 2006 in English and held by 20 libraries worldwide
This paper reviews the financial market functioning under the zero interest rate policy (ZIRP) and the subsequent quantitative monetary easing policy (QMEP) conducted by the Bank of Japan (BOJ). First, the estimation results of the JGB yield curve using the Black-Gorovoi-Linetsky (BGL) model show that (i) the shadow interest rate has been negative since the late 1990s, turned around upward in 2003, and has been on an uptrend since then, and (ii) the first-hitting time until the negative shadow interest rate hits zero again under the risk-neutral probability is estimated to be about 3 months as of the end of February 2006. Second, under the ZIRP and QMEP, the risk premiums for Japanese banks have almost disappeared in the short-term money markets like the market for negotiable certificates of deposits, while they have remained in the credit default swap market and the stock market. This result supports the view that the market participants have positively perceived the BOJ's ample liquidity provisions in containing the near-term defaults of banks caused by the liquidity shortage.--Author's description
Price discovery of credit spreads for Japanese mega-banks : subordinated bond and CDS by Naohiko Baba( Book )
4 editions published in 2007 in English and held by 19 libraries worldwide
Testing the Ex Ante relationship between asset and investment returns in Japan : an applications of the P-CAPM to the Japanese aaset returns by Naohiko Baba( Book )
1 edition published in 2000 in English and held by 1 library worldwide
Optimal timing in banks' write-off decisions under the possible implementation of a subsidy scheme : a real options approach by Naohiko Baba( Book )
1 edition published in 2001 in English and held by 1 library worldwide
Exploring the role of money in asset pricing in Japan : does monetary conssideration signifficantly improve the empirical performance of C-CAPM? by Naohiko Baba( Book )
1 edition published in 2000 in English and held by 1 library worldwide
A reexamination of ex ante pricing of currency risk in the japanese stock market : a pricing kernel approach by Naohiko Baba( Book )
1 edition published in 2000 in English and held by 1 library worldwide
 
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Alternative Names
Naohiko Baba
馬場直彦
Languages
English (69)
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