The Political Economy of Japan's Big Bang
AbstractA 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.
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Bibliographic InfoPaper provided by Department of Economics, W. P. Carey School of Business, Arizona State University in its series Working Papers with number 2132866.
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Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
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- F. Gerard Adams & Byron Gangnes, 2000. "Will Japan's Current Account Turn to Deficit?," Working Papers 200010, University of Hawaii at Manoa, Department of Economics.
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