Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives

Abstract

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.

Peningkatan Daya Saing UMKM melalui Social Capital

“…Sehingga (Andriani & Christoforou, 2016) modal sosial adalah hubungan aktif antara manusia, kepercayaan, saling pengertian, kesetaraan nilai dan perilaku yang mengikat dalam jaringan yang mengarah pada kerjasama. (Ito & Harada, 2003) menemukan bahwa salah satu penentu keberhasilan program pinjaman di negara berkembang adalah hubungan yang erat antara debitur dan lembaga keuangan mikro. Ketika kreditur memiliki hubungan yang erat dengan kreditur, maka peran ikatan sosial antar pribadi merupakan unsur penting dalam menjamin pelunasan pinjaman.…”

“…Bahkan dalam pandangan (Andriani, 2013;Andriani & Christoforou, 2016;Ito & Harada, 2003;Joshi & Sharma, 2004;Supriandi, 2022) modal sosial dalam ruang lingkup bisnis bisa memberikan keberhasilan program pinjaman khususnya negara berkembang dan hubungan erat dengan lembaga keuangan mikro. Perilaku oportunistik dalam hubungan kerjasama industri melihat keberadaan modal sosial sebagai faktor nilai yang menciptakan peluang untuk menghasilkan nilai industri.…”

Explaining cosmetic compliance with international regulatory regimes: The implementation of the Basle Accord in Japan, 1998–2003

“…53 Also of note is the fact that a 'Japan premium', which Japanese banks used to pay for inter-bank borrowing during the mid 1990s, virtually disappeared after this injection of the public funds. 54 The only area in which the CRCs played a role regarding the compliance of Japanese banks with the BIS standard was that involving formal compliance by those that had already been regulated by the BIS standard. Although the BIS CAR was not a reliable solvency indicator, the CRCs emphasized that it was important for a bank to meet the regulatory minimum CAR requirement.…”