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Japan's Big Bang and the Transformation of Financial Markets / Takatoshi Ito, Michael Melvin.
- Format:
- Book
- Author/Creator:
- Ito, Takatoshi.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7247.
- NBER working paper series no. w7247
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1999.
- Summary:
- 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.
- Notes:
- Print version record
- July 1999.
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