文章基本信息

标题：Financial Crises as the Failure of Arbitrage: Implications for Monetary Policy
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作者：Makoto Saito ; Shigenori Shiratsuka
期刊名称：Monetary and Economic Studies
印刷版ISSN：0288-8432
出版年度：2001
卷号：19
期号：S1
出版社：Bank of Japan, Institute for Monetary and Economic Studies
摘要：This paper attempts to view financial crises as the failure of arbitrage among financial markets, and takes the “Japan premium” phenomenon observed in offshore money markets as an important example in favor of this view. In addition, we reconsider, from this perspective, the open market operations conducted by a central bank during a period of financial distress. The paper first derives from the existing theoretical literature several implications regarding how arbitrage among markets is prevented when financial institutions such as investors and intermediaries suffer from severe liquidity constraints, and then examines empirically such theoretical implications using the data available from offshore money markets. Given these implications, explored both theoretically and empirically, the paper finally discusses a possible role played by a central bank in recovering market liquidity when markets are segmented in the absence of financial arbitrage.
关键词：Financial market instability; Japan premium; Allocation of liquidity; Failure of arbitrage; Money market operation