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 13,345

in Total Papers Downloads

3,504

SSRN RANKINGS

Top 5,063

in Total Papers Citations

102

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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 976 (21,963)

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 917 (24,051)

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, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 799 (29,261)

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 333 (88,365)

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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 283 (105,521)

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 134 (210,547)

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
Ilhyock Shim and Naohiko Baba
Bank for International Settlements (BIS) and Bank of Japan - Financial Markets Department
Downloads 62 (344,996)

Abstract:

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