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Working Paper
Is it true that insurers benefit from a catastrophic event? Market reactions to the 1995 Hanshin-Awaji earthquake

Previous studies, investigating how the market in general viewed the impact of a big earthquake (e.g., the 1989 Loma Prieta earthquake in the San Francisco Bay Area) on insurance firm values, found a positive reaction of insurers' stock prices. This "gaining from loss" may be caused by the subsequent increased demand for insurance coverage. This paper investigates the impact of the 1995 Hanshin-Awaji earthquake on Japanese insurers' value. Contrary to the results for U.S. earthquakes, we find significant negative stock price reactions. Furthermore, our results demonstrate that Japanese ...
Pacific Basin Working Paper Series , Paper 99-04

Conference Paper
What lessons can be learned from recent financial crises? : the Japanese experience

Proceedings - Economic Policy Symposium - Jackson Hole

Working Paper
The term structure of interest rates in the onshore markets of the United States, Germany, and Japan

This paper investigates term premia behavior in U.S., German, and Japanese markets. Onshore returns are evaluated in order to focus on the co-movement of the term premia across a set of potentially heterogeneous markets. The paper extends the work of Campbell and Clarida [1987], who find that the term premia within the Euromarket appear to move together. In keeping with their approach, Hansen and Hodrick's [1983] latent variable model is used. The model constrains expected returns, conditional on an information set, to be proportional to one another. These restrictions are not rejected for ...
International Finance Discussion Papers , Paper 382

Journal Article
Japan's financial reform

FRBSF Economic Letter

Working Paper
Saving-investment associations and capital mobility on the evidence from Japanese regional data

We will examine the size of the Feldstein and Horioka (1980) "saving-retention coefficient" in a setting of near perfect capital mobility, Japanese regions. We first find that on total regional saving and investment rate data, inclusive of regional government saving and investment, the estimate of the coefficient is negative. This negative relationship in the total rates across Japanese regions appears to arise from the strong negative association in the government saving and investment rates.
International Finance Discussion Papers , Paper 496

Working Paper
An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures

This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative on Tuesday and anomalous; this phenomenon is known as the Japanese-Tuesday effect. One explanation for the Japanese-Tuesday effect is that there exists a cause and effect relationship with Monday returns in New York. Historically, Monday returns in New York are negative, a phenomenon known as the ...
FRB Atlanta Working Paper , Paper 2000-6

Working Paper
How pervasive is the product cycle? The empirical dynamics of American and Japanese trade flows

This paper looks for dynamic patterns in international trade flows using multilateral American and Japanese data disaggregated to the four-digit SITC level. Little evidence is found of product-cycle dynamics between 1962 and 1988; rather, goods that begin the sample in surplus (deficit) tend to remain in surplus (deficit) throughout the sample.
International Finance Discussion Papers , Paper 410

Journal Article
A perspective on the globalization of financial markets and institutions

Quarterly Review , Volume 12 , Issue Spr , Pages 1-9

Working Paper
Aging and the Real Interest Rate in Japan: A Labor Market Channel

This paper explores a causal link between aging of the labor force and declining trends in the real interest rate in Japan. We develop a search/matching model that features heterogeneous workers with respect to their ages and firm-specific skills. Using the model, we examine the long-run implications of the sharp drop in labor force entry in the 1970s. We show that the changes in the demographic structure induce significant low-frequency movements in per capita consumption growth and the real interest rate. The model suggests that aging of the labor force accounts for 40 percent or more of ...
Working Papers , Paper 21-23

Working Paper
Is Japan creating a yen bloc in East Asia and the Pacific?

Pacific Basin Working Paper Series , Paper 92-09



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