CAPITAL MARKET INTEGRATION IN JAPAN

Kris James Mitchener and Mari Ohnuki
Additional contact information
Kris James Mitchener: Assistant Department of Economics, Santa Clara University (E-mail:kmitchener@scu.edu)
Mari Ohnuki: Institute for Monetary and Economic Studies, Bank of Japan (E-mail: mari.oonuki@boj.or.jp)

No 07-E-17, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: We construct new quarterly estimates of lending rates for 47 Japanese prefectures for the period 1886-1922, and test the extent to which regional capital markets integrated during this period. We analyze whether the capital market was efficient, estimate the speed of convergence among the rates, and assess the degree to which different regions were integrated with the main financial centers of Japan. Interest-rate differentials between the financial centers of Japan and other regions do not follow a random walk, and hence are suggestive of market efficiency ? in the sense that arbitrage opportunities did not persist. Results from cointegration tests suggest that the integration in Japan is characterized by multiple stochastic elements. We find the existence of four long-run cointegrating relationships. We also find evidence that shocks occurring in a financial center, such as the Kanto region, were transmitted to outlying regions and had permanent, but small effects on their rates.

Keywords: Financial Market Development; Capital Market Integration; Economic Integration; Japanese Banks (search for similar items in EconPapers)
JEL-codes: F21 G21 N25 O16 (search for similar items in EconPapers)
Date: 2007-08
New Economics Papers: this item is included in nep-cfn and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/07-E-17.pdf (application/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:ime:imedps:07-e-17

Access Statistics for this paper

More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().