Detail Monetary policy, the banking system, and short-term money instrument Bibliografi Author: Uesugi, Iichiro ; Hamilton, James D. (Advisor) Topik: ECONOMICS; GENERAL|ECONOMICS; FINANCE|BUSINESS ADMINISTRATION; BANKING Bahasa: (EN )    ISBN: 0-599-80594-3     Penerbit: UNIVERSITY OF CALIFORNIA, SAN DIEGO     Tahun Terbit: 2000     Jenis: Theses - Dissertation Fulltext: 9975049.pdf (0.0B; 1 download) Abstract Chapter I examines two countries, the US and Japan and make some comparisons in the following four topics: (1) money markets and reserve systems, (2) practices of market operations and discount window lending by the central banks, (3) objectives of market operations, and (4) implications of institutional differences and similarities on the liquidity effect. Based on the above institutional investigation, Chapter II measures the liquidity effect in Japan, and compares it with the US. Since the institutional features are similar across these countries, we apply Hamilton's (1997,1998) methodology to obtain the estimates. In addition, the detailed daily data supplied by the Bank of Japan enables us to obtain more accurate estimates for Japan. Our key findings are: (1) On the final day of the maintenance period, both countries show the strongest evidence for the liquidity effect. (2) There is a common tendency in these countries that the liquidity effect is larger and more statistically significant toward the end of the period. Chapter III revisits the relationship between the forward interest rate and the spot interest rate at the shortest maturities. This set of interest rates has not been fully utilized in the literature. We demonstrate two kinds of asymmetric predictability of the forward interest rates. The first asymmetry occurs when the forward rate minus the current spot rate is positive or negative. The other asymmetry occurs between the two periods: periods right after a policy change and the following period up to the next policy change. The varying term premium and erroneous anticipation of future monetary policy may explain each of these asymmetries, respectively. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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