TY  - JOUR
AU  - Ito,Takatoshi
AU  - Harada,Kimie
TI  - Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9589
PY  - 2003
Y2  - March 2003
UR  - http://www.nber.org/papers/w9589
L1  - http://www.nber.org/papers/w9589.pdf
N1  - Author contact info:
Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp

Kimie Harada
Graduate School of International Accounting
Chuo University
Ichigaya-Tamachi 1-18
Shinjuku-ku, Tokyo 162-8478
Japan
E-Mail: kimieh@tamacc.chuo-u.ac.jp
AB  - This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks of Japanese banks has not necessarily disappeared. Other indicators show varying degrees of fragility among Japanese banks in 1998-2001. Banking stock prices continue to slide compared to the market-wide stock price index. From pricing of credit derivatives, default probabilitie of banks can be etracted. Correlations among indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium with a significant, positive coefficient. The higher the CDS is, lower go the stock prices. Before the capital injection of 1999, the markets were more sensitive to bank vulnerability and higher premiums were required
ER  -