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- W3122992888 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" @default.
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- W3122992888 date "2003-03-01" @default.
- W3122992888 modified "2023-09-25" @default.
- W3122992888 title "Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives" @default.
- W3122992888 hasPublicationYear "2003" @default.
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