Naohiko Baba

Bank of Japan - Financial Markets Department

Director and Senior Economist

2-1-1, Hongoku-cho

Nihonbashi

Chuo-ku, Tokyo, 103

Japan

SCHOLARLY PAPERS

7

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Top 14,022

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3,832

SSRN CITATIONS
Rank 5,836

SSRN RANKINGS

Top 5,836

in Total Papers Citations

40

CROSSREF CITATIONS

170

Scholarly Papers (7)

1.

The Spillover of Money Market Turbulence to FX Swap and Cross-Currency Swap Markets

BIS Quarterly Review, March 2008
Number of pages: 14 Posted: 11 Jul 2012
Naohiko Baba, Frank Packer and Teppei Nagano
Bank of Japan - Financial Markets Department, Bank for International Settlements (BIS) and Bank of Japan - Research and Statistics Department
Downloads 1,095 (21,558)
Citation 10

Abstract:

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2.

Japan's Deflation, Problems in the Financial System and Monetary Policy

BIS Working Paper No. 188
Number of pages: 71 Posted: 20 Sep 2007
Bank of Japan - Financial Markets Department, Bank of Japan - Institute of Monetary and Economic Studies, Kyorin University, Bank of Japan - Institute of Monetary and Economic Studies, University of Tokyo - Faculty of Economics and Bank of Japan - Institute of Monetary and Economic Studies
Downloads 995 (24,811)
Citation 27

Abstract:

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zero interest rate policy, quantitative monetary easing policy, commitment, deflation, financial accelerator, negative interest rate, investor behavior

3.

US Dollar Money Market Funds and Non-US Banks

BIS Quarterly Review, March 2009
Number of pages: 17 Posted: 27 Jul 2012
Bank of Japan - Financial Markets Department, University of Oxford - Oxford Centre for Global History and Bank for International Settlements (BIS)
Downloads 887 (29,293)
Citation 8

Abstract:

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4.

Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis

BIS Working Paper No. 264
Number of pages: 23 Posted: 27 Jan 2009
Yasuaki Amatatsu and Naohiko Baba
affiliation not provided to SSRN and Bank of Japan - Financial Markets Department
Downloads 355 (93,954)
Citation 3

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Currency Swap, FX Swap, Price Discovery, State Space Model, Efficient Price

5.

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

BIS Working Paper No. 267
Number of pages: 22 Posted: 27 Jan 2009
Naohiko Baba and Frank Packer
Bank of Japan - Financial Markets Department and Bank for International Settlements (BIS)
Downloads 294 (115,714)
Citation 26

Abstract:

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

6.

Policy Responses to Dislocations in the FX Swap Market: The Experience of Korea

BIS Quarterly Review, June 2010
Number of pages: 11 Posted: 13 Aug 2012
Naohiko Baba and Ilhyock Shim
Bank of Japan - Financial Markets Department and Bank for International Settlements (BIS)
Downloads 144 (225,065)
Citation 1

Abstract:

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7.

Dislocations in the Won-Dollar Swap Markets During the Crisis of 2007-09

BIS Working Paper No. 344
Number of pages: 36 Posted: 08 Jun 2011 Last Revised: 17 Apr 2020
Ilhyock Shim and Naohiko Baba
Bank for International Settlements (BIS) and Bank of Japan - Financial Markets Department
Downloads 62 (388,899)
Citation 1

Abstract:

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FX swap, cross-currency swap, regime switching, EGARCH model, foreign reserves