Working Paper
The exchange rate exposure of U.S. and Japanese banking institutions
Chamberlain, Sandra; Popper, Helen; Howe, John S. (1995)
In this paper, we examine the foreign exchange exposure of a sample of U.S. and Japanese banking firms. Using daily data, we construct estimates of the exchange rate sensitivity of the equity returns of the U.S. bank holding companies and compare them to those of a sample of Japanese banks. We find that the stock returns of a significant fraction of the U.S. companies move with the exchange rate, while few of the Japanese returns that we observe do so. We next examine more closely the sensitivity of the U.S. firms by linking the U.S. estimates cross-sectionally to accounting-based ...
Pacific Basin Working Paper Series , Paper 95-11

Working Paper
The term structure of interest rates in the onshore markets of the United States, Germany, and Japan
Popper, Helen (1990)
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

Conference Paper
Officially floating, implicitly targeted exchange rates: examples from the Pacific Basin
Lowell, Julia; Popper, Helen (1992-09)
Proceedings , Issue Sep

Working Paper
International capital mobility: direct evidence from long-term currency swaps
Popper, Helen (1990)
This paper provides direct measures of the international mobility of long-term financial capital using interest arbitrage conditions previously applied only to short-term assets. Long-term arbitrage conditions are constructed using a now well-developed mechanism for hedging long-term currency positions, the currency swap. Asset returns are compared in the Euromarkets and in the onshore markets of Canada, Japan, Germany, Switzerland, the United Kingdom, and the United States. The evidence, discussed below, indicates that long-term financial capital is as mobile across these markets as is ...
International Finance Discussion Papers , Paper 386

Journal Article
New measures of Japanese monetary policy
Popper, Helen; Kasa, Kenneth (1996)
FRBSF Economic Letter

Journal Article
Banks and foreign exchange exposure
Popper, Helen (1996)
FRBSF Economic Letter

Working Paper
Monetary policy in Japan: a structural VAR analysis
Popper, Helen; Kasa, Kenneth (1995)
This paper studies the objectives and operating procedures of the Bank of Japan (BOJ) during the period 1975-94. To do this we adapt Bernanke and Mihov's (1995) structural VAR model, which nests several alternative hypotheses concerning central bank behavior. In particular, the model separately identifies the anticipated and unanticipated components of monetary policy, and is capable of distinguishing between interest rate targeting and various types of reserve targeting. ; Three main results emerge from the analysis. First, no single target can explain the BOJ's behavior. Instead, the ...
Pacific Basin Working Paper Series , Paper 95-12

Conference Paper
Officially floating, implicitly targeted exchange rates: examples from the Pacific Basin
Lowell, Julia; Popper, Helen (1992)
Proceedings