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Evaluating deposit insurance for Japanese banks

Record type: Article

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.

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Citation

Fries, Steven, Mason, Robin and Perraudin, William (1993) Evaluating deposit insurance for Japanese banks Journal of the Japanese and International Economy, 7, (4), pp. 356-386. (doi:10.1006/jjie.1993.1022).

More information

Published date: December 1993

Identifiers

Local EPrints ID: 33440
URI: http://eprints.soton.ac.uk/id/eprint/33440
ISSN: 0889-1583
PURE UUID: 38448e2e-c1ac-4c77-9710-fc6d6e9b288f

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Date deposited: 14 Dec 2007
Last modified: 17 Jul 2017 15:52

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Contributors

Author: Steven Fries
Author: Robin Mason
Author: William Perraudin

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