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...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Tokyo
IMES
2007
|
| Schriftenreihe: | Discussion paper series / Institute for Monetary and Economic Studies, Bank of Japan
2007,17 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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.--Author's description. |
| Beschreibung: | graph. Darst. |
Internformat
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| 490 | 1 | |a Discussion paper series / Institute for Monetary and Economic Studies, Bank of Japan |v 2007,17 | |
| 520 | 3 | |a 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.--Author's description. | |
| 648 | 4 | |a Geschichte 1900-2000 | |
| 648 | 4 | |a Geschichte 1800-1900 | |
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| 650 | 4 | |a Capital market |z Japan |x History |y 20th century | |
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| era | Geschichte 1900-2000 Geschichte 1800-1900 |
| era_facet | Geschichte 1900-2000 Geschichte 1800-1900 |
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| geographic | Japan Economic conditions 1868-1918 |
| geographic_facet | Japan Economic conditions 1868-1918 |
| id | DE-604.BV023108177 |
| illustrated | Illustrated |
| index_date | 2024-07-02T19:47:20Z |
| indexdate | 2024-07-09T21:11:12Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016310820 |
| oclc_num | 173228975 |
| open_access_boolean | 1 |
| owner | DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-188 |
| physical | graph. Darst. |
| psigel | ebook |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | IMES |
| record_format | marc |
| series2 | Discussion paper series / Institute for Monetary and Economic Studies, Bank of Japan |
| spelling | Mitchener, Kris Verfasser (DE-588)128414510 aut Capital market integration in Japan Kris James Mitchener and Mari Ohnuki Tokyo IMES 2007 graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper series / Institute for Monetary and Economic Studies, Bank of Japan 2007,17 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.--Author's description. Geschichte 1900-2000 Geschichte 1800-1900 Bank Geschichte Wirtschaft Banks and banking Japan History 19th century Banks and banking Japan History 20th century Capital market Japan History 19th century Capital market Japan History 20th century Japan Economic conditions 1868-1918 Ohnuki, Mari Verfasser aut Institute for Monetary and Economic Studies, Bank of Japan Discussion paper series 2007,17 (DE-604)BV010647223 2007,17 http://www.imes.boj.or.jp/english/publication/edps/2007/07-E-17.pdf Verlag kostenfrei Volltext |
| spellingShingle | Mitchener, Kris Ohnuki, Mari Capital market integration in Japan Bank Geschichte Wirtschaft Banks and banking Japan History 19th century Banks and banking Japan History 20th century Capital market Japan History 19th century Capital market Japan History 20th century |
| title | Capital market integration in Japan |
| title_auth | Capital market integration in Japan |
| title_exact_search | Capital market integration in Japan |
| title_exact_search_txtP | Capital market integration in Japan |
| title_full | Capital market integration in Japan Kris James Mitchener and Mari Ohnuki |
| title_fullStr | Capital market integration in Japan Kris James Mitchener and Mari Ohnuki |
| title_full_unstemmed | Capital market integration in Japan Kris James Mitchener and Mari Ohnuki |
| title_short | Capital market integration in Japan |
| title_sort | capital market integration in japan |
| topic | Bank Geschichte Wirtschaft Banks and banking Japan History 19th century Banks and banking Japan History 20th century Capital market Japan History 19th century Capital market Japan History 20th century |
| topic_facet | Bank Geschichte Wirtschaft Banks and banking Japan History 19th century Banks and banking Japan History 20th century Capital market Japan History 19th century Capital market Japan History 20th century Japan Economic conditions 1868-1918 |
| url | http://www.imes.boj.or.jp/english/publication/edps/2007/07-E-17.pdf |
| volume_link | (DE-604)BV010647223 |
| work_keys_str_mv | AT mitchenerkris capitalmarketintegrationinjapan AT ohnukimari capitalmarketintegrationinjapan |