A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium
研究欧洲日元市场中TIBOR与LIBOR利差（即日本溢价）的决定因素，发现利差受利率、股价以及日本银行业好坏消息的影响，银行信用评级变动也有独立作用。
Abstract Pricing in the euroyen market is based on LIBOR, the London Interbank Offered Rate, set at 11:00AM London time or TIBOR, the Tokyo Interbank Offered Rate, set at 11:00AM Tokyo time. The changing TIBOR-LIBOR spread reflects the credit risk associated with Japanese banks or the “Japan premium”. The spread is modeled as a function of determinants of bank default and firm value. Systematic variation in the spread can be explained by interest rate and stock price effects along with public information flows of good and bad news regarding Japanese banking, with a separate role for bank credit downgrades and upgrades.