Determinants of the Japan premium: actions speak louder than words

• 成果类型: Article; Proceedings Paper
• 署名作者: Peek, J; Rosengren, ES
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(00)00076-3
• 发表日期: 2001
• 页码: 283-305
• 关键词: Japan premium; Eurodollar; Euroyen; LIBOR

摘要

Since August 1995, Japanese banks have had to pay a premium on Eurodollar and Euroyen interbank loans relative to their U.S. and U.K. competitors. This so-called Japan premium provides a market indicator of investor anxiety about the ability of Japanese banks to repay loans. We examine the determinants of the Japan premium and find that government announcements not associated with concrete actions had little impact. On the other hand, announcements of concrete actions by the Japanese government, such as injections of funds into the banking system, tended to have an effect on the size of the Japan premium. (C) 2001 Elsevier Science BN. All rights reserved.