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Baba, Naohiko

Overview
Works: 17 works in 89 publications in 2 languages and 274 library holdings
Genres: Academic theses 
Roles: Author
Publication Timeline
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Publications about Naohiko Baba
Publications by Naohiko Baba
Most widely held works by Naohiko Baba
Exploring the role of money in asset pricing in Japan : does monetary consideration significantly improve the empirical performance of C-CAPM? by Naohiko Baba( Book )
8 editions published in 2000 in English and held by 31 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 )
7 editions published in 2000 in English and held by 28 libraries worldwide
Empirical studies on the recent decline in bank lending growth : an approach based on asymmetric information by Naohiko Baba( Book )
8 editions published in 1996 in English and held by 25 libraries worldwide
Dislocations in the won-dollar swap markets during the crisis of 2007-09 by Naohiko Baba( Book )
9 editions published in 2011 in English and held by 25 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
From turmoil to crisis : dislocations in the FX swap market before and after the failure of Lehman Brothers by Naohiko Baba( Book )
10 editions published in 2009 in English and held by 23 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
Determinants of subordinated debt issuance by Japanese regional banks by Naohiko Baba( Book )
5 editions published in 2007 in English and held by 23 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
Price discovery from cross-currency and FX swaps : a structural analysis by Yasuaki Amatatsu( Book )
11 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
Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08 by Naohiko Baba( Book )
10 editions published in 2008 in English and held by 22 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
Price discovery of credit spreads for Japanese mega-banks : subordinated bond and CDS by Naohiko Baba( Book )
5 editions published in 2007 in English and held by 21 libraries worldwide
Price discovery from cross-cultural and FX swaps : a structural analysis by Yasuaki Amatatsu( Book )
2 editions published in 2008 in English and held by 7 libraries worldwide
Essays on the relationship between stock returns and economic fluctuations : asset pricing and the Japanese economy by Naohiko Baba( file )
4 editions published between 1999 and 2001 in English and held by 7 libraries worldwide
My dissertation consists of closely-related, but independent four essays. The first essay provides a comprehensive analysis of currency risk exposure of the Japanese firms with overseas operations, especially with emphasis on the micro-foundation of the behavior of the firm with overseas production bases. The essay also studies the dynamic currency risk exposure by taking account of the foreign direct investment decision in the case where there are investment adjustment costs. The empirical result favors the prediction of the theoretical model especially when the Japanese yen depreciates
Extracting market expectations from yield curves augmented by money market interest rates : the case of Japan by Teppei Nagano( Book )
5 editions published in 2008 in English and held by 5 libraries worldwide
The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market by Naohiko Baba( file )
1 edition published in 2005 in Undetermined and held by 1 library worldwide
Using the interest rates on negotiable certificates of deposit issued by individual banks, we first show that under the Bank of Japan's zero interest rate policy and quantitative monetary easing policy, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. We next show that the fall in the dispersion of the rates is not fully explained by a fall in the dispersion of credit ratings of the banks. We also present some evidence on the role of the Bank of Japan's monetary policy in reducing risk premiums
Price developments of Japanese government bonds in 2003 by Takashi Nakayama( Book )
1 edition published in 2004 in English and held by 1 library worldwide
Kin'yū shijō no kakaku kinō to kin'yū seisaku : zero kinri-ka ni okeru nihon no keiken by Naohiko Baba( Book )
1 edition published in 2006 in Japanese and held by 0 libraries worldwide
 
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Alternative Names
馬場直彦
Languages
English (87)
Japanese (1)
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