EconPapers    
Economics at your fingertips  
 

The Political Economy of Japan's Big Bang

Takatoshi Ito () and Michael Melvin ()

Working Papers from Department of Economics, W. P. Carey School of Business, Arizona State University

Abstract: A first step in the 'big-bang' deregulation of Japanese financial markets was the deregulation of the foreign exchange market on April1, 1998. This paper provides an overview of the deregulation and then examines the early effects of the foreign exchange market deregulation. In particular we study how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of the deregulation. Intra-day data are analyzed with the following results: (1) Holding constant the effects of volume and volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility.

JEL-codes: F3 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-sea
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://wpcarey.asu.edu/tools/mytools/pubs_admin/FILES/wp99_8.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://wpcarey.asu.edu/tools/mytools/pubs_admin/FILES/wp99_8.pdf [301 Moved Permanently]--> https://wpcarey.asu.edu/tools/mytools/pubs_admin/FILES/wp99_8.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asu:wpaper:2132866

Access Statistics for this paper

More papers in Working Papers from Department of Economics, W. P. Carey School of Business, Arizona State University Contact information at EDIRC.
Bibliographic data for series maintained by Steve Salik ().

 
Page updated 2021-09-17
Handle: RePEc:asu:wpaper:2132866