Negative Interest Rates under the Quantitative Monetary Easing Policy in Japan: The Mechanism of Negative Yen Funding Costs in the FX Swap Market
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References listed on IDEAS
- Kei-ichiro Inaba & Sayako Konno & Noritaka Fukunaga & Tokiko Shimizu, 2001. "The Structure of and Recent Developments in the Short-term Yen Money Markets: Arbitrage relationship between the uncollateralized call market, the Euroyen market and the dollar/yen swap market," Bank of Japan Review Series Market Review E-series, 2, Bank of Japan.
- Shinichi Nishioka & Naohiko Baba, 2004. "Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market?," Bank of Japan Working Paper Series 04-E-7, Bank of Japan.
- Tetsuro Hanajiri, 1999. "Three Japan Premiums in Autumn 1997 and Autumn 1998 -- Why did premiums differ between markets? --," Bank of Japan Working Paper Series Financial Markets Departm, Bank of Japan.
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- Shinada, Naoki, 2005. "Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s," MPRA Paper 16425, University Library of Munich, Germany.
- Naohiko Baba & Yasuaki Amatatsu, 2008. "Price discovery from cross-currency and FX swaps: a structural analysis," BIS Working Papers 264, Bank for International Settlements.
- Baba, Naohiko & Packer, Frank, 2009.
"Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08,"
Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
- Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
- Shinichi Nishioka & Naohiko Baba, 2004. "Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market?," Bank of Japan Working Paper Series 04-E-7, Bank of Japan.
- Yasuaki Amatatsu & Naohiko Baba, 2007. "Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis," Bank of Japan Working Paper Series 07-E-12, Bank of Japan.
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Keywords
Yen Funding Cost; Foreign Exchange Swap Market; Credit-Risk Premium; No-arbitrage Condition; Quantitative Monetary Easing Policy;All these keywords.
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