Capital Market Integration In Japan
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.
|Date of creation:||Aug 2007|
|Date of revision:|
|Contact details of provider:|| Postal: 2-1-1 Nihonbashi, Hongoku-cho, Chuo-ku, Tokyo 103|
Web page: http://www.imes.boj.or.jp/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guiso, Luigi & Jappelli, Tullio & Padula, Mario & Pagano, Marco, 2004.
"Financial Market Integration and Economic Growth in the EU,"
CEPR Discussion Papers
4395, C.E.P.R. Discussion Papers.
- Luigi Guiso & Tullio Jappelli & Mario Padula & Marco Pagano, 2004. "Financial market integration and economic growth in the EU," Economic Policy, CEPR;CES;MSH, vol. 19(40), pages 523-577, October.
- Luigi Guiso & Tullio Jappelli & Mario Padula & Marco Pagano, 2004. "Financial Market Integration and Economic Growth in the EU," CSEF Working Papers 118, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Howard Bodenhorn & Hugh Rockoff, 1992. "Regional Interest Rates in Antebellum America," NBER Chapters, in: Strategic Factors in Nineteenth Century American Economic History: A Volume to Honor Robert W. Fogel, pages 159-187 National Bureau of Economic Research, Inc.
- Claudia M. Buch, 2000.
"Financial Market Integration in the US: Lessons for Europe?,"
Kiel Working Papers
1004, Kiel Institute for the World Economy.
- Buch, Claudia M., 2000. "Financial Market Integration in the US: Lessons for Europe?," Kiel Working Papers 1004, Kiel Institute for the World Economy (IfW).
- Levine, Ross, 2005.
"Finance and Growth: Theory and Evidence,"
Handbook of Economic Growth,
in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 12, pages 865-934
- James, John A, 1976. "Banking Market Structure, Risk, and the Pattern of Local Interest Rates in the United States, 1893-1911," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 453-62, November.
- Pierre-Olivier Gourinchas & Olivier Jeanne, 2003.
"The Elusive Gains from International Financial Integration,"
NBER Working Papers
9684, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Olivier Jeanne, 2006. "The Elusive Gains from International Financial Integration," Review of Economic Studies, Oxford University Press, vol. 73(3), pages 715-741.
- Pierre-Olivier Gourinchas & Olivier D Jeanne, 2004. "The Elusive Gains from International Financial Integration," IMF Working Papers 04/74, International Monetary Fund.
- Gourinchas, Pierre-Olivier & Jeanne, Olivier, 2003. "The Elusive Gains from International Financial Integration," CEPR Discussion Papers 3902, C.E.P.R. Discussion Papers.
- James, John A., 1976. "The Development of the National Money Market, 1893-1911," The Journal of Economic History, Cambridge University Press, vol. 36(04), pages 878-897, December.
- Tetsuji Okazaki & Michiru Sawada, 2004.
"Effects of bank consolidation promotion policy: Evaluating the Bank Law in 1927 Japan,"
04004, Research Institute of Economy, Trade and Industry (RIETI).
- Michiru Sawada & Tetsuji Okazaki, 2004. "Effects of Bank Consolidation Promotion Policy: Evaluating the Bank Law in 1927 Japan," CIRJE F-Series CIRJE-F-307, CIRJE, Faculty of Economics, University of Tokyo.
- John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
- Rockoff, Hugh, 1977. "Regional interest rates and bank failures, 1870-1914," Explorations in Economic History, Elsevier, vol. 14(1), pages 90-95, January.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Rousseau, Peter L., 1999. "Finance, investment, and growth in Meiji-era Japan," Japan and the World Economy, Elsevier, vol. 11(2), pages 185-198, April.
- Landon-Lane, John & Rockoff, Hugh, 2007. "The origin and diffusion of shocks to regional interest rates in the United States, 1880-2002," Explorations in Economic History, Elsevier, vol. 44(3), pages 487-500, July.
When requesting a correction, please mention this item's handle: RePEc:ime:imedps:07-e-17. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kinken)
If references are entirely missing, you can add them using this form.