A yen is not a yen: TIBOR/LIBOR and the determinants of the Japan premium

被引：12

作者：

Covrig, V ^{[1
]}

Low, BS

Melvin, M

机构：

[1] Calif State Univ Northridge, Sch Business & Econ, Northridge, CA 91330 USA

[2] Nanyang Technol Univ, Div Banking & Finance, Singapore 2263, Singapore

[3] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2004年 / 39卷 / 01期

关键词：

D O I：

10.1017/S002210900000394X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Pricing in the euroyen market is based on LIBOR, the London Interbank Offered Rate, set at 11:00 AM London time or TIBOR, the Tokyo Interbank Offered Rate, set at 11:00 AM Tokyo time. The changing TIBOR-LIBOR spread reflects the credit risk associated with Japanese banks or the "Japan premium." The spread is modeled as a function of determinants of bank default and firm value. Systematic variation in the spread can be explained by interest rate and stock price effects along with public information flows of good and bad news regarding Japanese banking, with a separate role for bank credit downgrades and upgrades.

引用

页码：193 / 208

页数：16

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