U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations / V. Vance Roley.

Format:

Book

Author/Creator:

Roley, V. Vance.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w1858.

NBER working paper series no. w1858

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1986.

Summary:

This paper examines the pervasiveness of the effects of U.S. monetary policy regime shifts and unanticipated changes in money on international financial markets. Four potential regimes from October 1977 to May 1985 are examined in terms of the response of yen-denominated securities in the Tokyo market to U.S. money surprises. The rationality of the responses in domestic and foreign on shore financial markets is further examined by testing whether the responses of dollar-denominated securities, yen-dominated securities, the spot yen/dollar exchange rate,and the forward yen/dollar exchange rate violate covered interest parity.The use of yen-denominated assets and the yen/dollar exchange rate allows further tests of the effects of the liberalization of restrictions on capital mobility in Japan since the late 1970s on market efficiency.

Notes:

Print version record

March 1986.