Japan's Big Bang and the Transformation of Financial Markets
AbstractA 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.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 7247.
Date of creation: Jul 1999
Date of revision:
Publication status: published as Blomstrom, M., B. Gangnes, S. La Croix (eds.) Japan’s New Economy. Oxford University Press, January 2001.
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-08-01 (All new papers)
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