Japan's Big Bang and the Transformation of Financial Markets
Takatoshi Ito () and
Michael Melvin ()
No 7247, NBER Working Papers from National Bureau of Economic Research, Inc
A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper examines 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: G1 F3 (search for similar items in EconPapers)
Note: AP IFM
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Published as Blomstrom, M., B. Gangnes, S. La Croix (eds.) Japan’s New Economy. Oxford University Press, January 2001.
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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:7247
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