Evaluating deposit insurance for Japanese banks
Fries, Steven, Mason, Robin and Perraudin, William (1993) Evaluating deposit insurance for Japanese banks. Journal of the Japanese and International Economy, 7, (4), 356-386. (doi:10.1006/jjie.1993.1022).
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Recent declines in Japanese land and stock market prices have thrown in doubt the financial well-being of the Japanese banking system and the adequacy of its deposit insurance system. In this study, we apply the pricing models of Fries and Perraudin (1993a) and Merton (1977) to value the Japanese authorities′ deposit guarantees for 16 city, trust, and long-term credit banks. Both models are estimated using exact maximum-likelihood techniques that fully allow for time aggregation and the fact that observed quantities such as stock market values are nonlinear functions of underlying driving processes.
|Subjects:||H Social Sciences > HT Communities. Classes. Races
H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Divisions:||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Date Deposited:||14 Dec 2007|
|Last Modified:||25 Apr 2013 13:16|
|Contributors:||Fries, Steven (Author)
Mason, Robin (Author)
Perraudin, William (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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