Template-type: ReDIF-Paper 1.0
Author-Name: Takatoshi Ito
Author-Email: 
Author-Homepage: http://wpcarey.asu.edu/Directory/stafffaculty.cfm?cobid=2133564
Author-Workplace-Name: Hitotsubashi University
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Author-Name: Michael Melvin
Author-Email: mmelvin@asu.edu
Author-Homepage: http://wpcarey.asu.edu/Directory/stafffaculty.cfm?cobid=1039591
Author-Workplace-Name: W. P. Carey School of Business Department of Economics
Author-Workplace-Homepage: http://wpcarey.asu.edu/ecn/

Title: The Political Economy of Japan's Big Bang
Abstract: A 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.		
Classification-JEL: F3, G1
Keywords: 
File-URL:http://wpcarey.asu.edu/tools/mytools/pubs_admin/FILES/wp99_8.pdf
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Handle: RePec:asu:wpaper:2132866