Naohiko Baba

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

BIS Working Paper No. 285
Number of pages: 40 Posted: 20 Aug 2009
Naohiko Baba and Frank Packer
affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 346 (167,902)
Citation 66

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FX swap, covered interest parity, financial market turmoil, counterparty risk, US dollar swap lines, term auction facility, central bank cooperation, Lehman bankruptcy

2.

When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 27 Aug 2009 Last Revised: 07 Dec 2009
Naohiko Baba and Yuji Sakurai
affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 238 (246,836)
Citation 1

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Global financial crisis, US dollar shortage, Currency swap, Dynamic global factor model, Regime switching

3.

Extracting Market Expectations from Yield Curves Augmented by Money Market Interest Rates: The Case of Japan

ECB Working Paper No. 980
Number of pages: 42 Posted: 23 Dec 2008
Teppei Nagano and Naohiko Baba
Bank of Japan - Research and Statistics Department and affiliation not provided to SSRN
Downloads 202 (287,927)

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yield curve, overnight index swap, price discovery, structural time-series model, swap spread

4.

Interpreting Deviations from Covered Interest Parity During the Financial Market Turmoil of 2007-08

Number of pages: 40 Posted: 03 Feb 2009
Naohiko Baba and Frank Packer
affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 173 (330,925)
Citation 1

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FX swap, covered interest parity, financial market turmoil, counterparty risk, dollar swap lines, dollar term auction facility