Synchronization of Japanese Money Markets

Yoshikazu Yuasa

Boston University - Institute for Economic Development from Boston University, Institute for Economic Development

Abstract: Using the cointegration technique, this paper assesses the impact of Japanese deregulation in the 1980s on the degree of integration of Japanese money markets and the overseas money market. There was found a cointegration relationship post-April 1984 and synchronization or co- movement between Japanese short-run money market rates and certain overseas money market rates. the LIBOR (London Inter-Bank Offered Rate) on Japanese Yen. The empirical analysis demonstrates that the degree of international synchronization or co- movement between money market rates increased substantially post-April 1984, with the GENSAKI RATE being the sole exception.

Date: 1995-10
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Persistent link: https://EconPapers.repec.org/RePEc:fth:bosecd:71

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