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| Author: | Uesugi, I. |
| Title: | Measuring the Liquidity Effect: The Case of Japan |
| Journal: | Journal of the Japanese and International Economies
2002 : SEP, VOL. 16:3, p. 289-316 |
| Index terms: | LIQUIDITY MARKETS CENTRAL BANKS MONETARY POLICY JAPAN |
| Language: | eng |
| Abstract: | In this paper, the authors measure the liquidity effect in Japan, complementing the work done by F. Hayashi and compare it to the liquidity effect in the United States. Since institutional features are similar across these two countries, the authors apply J. Hamilton's methodology to estimate the liquidity effect for each day of the maintenance period. Detailed daily data supplied by the Bank of Japan enable us to obtain more accurate estimates for Japan. The authors' key findings are as follows: (1) On the final day of a reserve maintenance period, both countries show the strongest evidence of the liquidity effect, and (2) in both countries the liquidity effect tends to be larger and more statistically significant toward the end of the period. |
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