文章基本信息

标题：Capital Market Integration in Japan
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作者：Kris James Mitchener ; Mari Ohnuki
期刊名称：Monetary and Economic Studies
印刷版ISSN：0288-8432
出版年度：2007
卷号：25
期号：2
出版社：Bank of Japan, Institute for Monetary and Economic Studies
摘要：We construct new quarterly estimates of lending rates for the 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 Japanese 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 in which Tokyo is located, were transmitted to outlying regions and had permanent but small effects on their rates.
关键词：Financial market development; Capital market integration; Economic integration; Japanese banks