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 …

We analyse dislocations in the foreign exchange swap and cross‐currency swap markets
between Korean won and US dollar from 2007 to 2009. A regime‐switching analysis of …

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 …

… Naohiko Baba naohiko.baba@bis.org … Under these circumstances, this asymmetry led
to skewed foreign exchange swap prices that hiked the cost of raising dollars well above an …

We analyse the spillover of the turmoil in money markets in the second half of 2007 to FX
swap and long-term cross-currency basis swap markets. We find that the use of swap markets …

This paper investigates the impact of the increased presence of foreign investors on the
dividend policy of Japanese firms. A choice-to-pay model, estimated with a random-effects …

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 …

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 …

During the financial crisis, Korea responded to dislocations in the FX swap market by both
drawing on its swap line with the Federal Reserve and using its own international reserves to …

This paper applies a survival analysis to individual hedge fund data reported in the Lipper
TASS database. We use several methodologies including the non-parametric survival analysis…