Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis

التفاصيل البيبلوغرافية
العنوان: Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis
المؤلفون: Naoya Kato, Ichiro Fukunaga
سنة النشر: 2014
مصطلحات موضوعية: Economics and Econometrics, 050208 finance, Financial economics, Collateral, 05 social sciences, jel:E43, Monetary economics, jel:E52, Repurchase agreement, jel:E58, jel:G01, jel:G12, Treasury, Call rate, Market segmentation, 0502 economics and business, Political Science and International Relations, Financial crisis, Economics, 050207 economics, Finance, repurchase agreement (repo), call markets, monetary policy implementation, financial crisis, market segmentation, vector error correction model, threshold ARCH
الوصف: We empirically investigate the relationship between the Japanese general collateral (GC) repurchase agreement (repo) and uncollateralized call rates before, during, and emerging from the recent financial crisis. Unlike the US and many other countries, the Japanese GC repo rate has been higher than the uncollateralized call rate, despite the former being secured by collateral. Moreover, during the financial crisis, the Japanese GC repo rate rose, whereas the US Treasury GC repo rate decreased. The results of our empirical analysis suggest that segmentation between the Japanese repo and call markets is a key factor explaining these features. The analysis also reveals how much changes in the policy target rate and the current account balances at the Bank of Japan, institutional changes in the payment system, and various policy and market events affected both the repo and call rates.
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ff01c41cac4ae97abefbbc2b12e67d0f
http://www.imes.boj.or.jp/research/papers/english/14-E-15.pdf
Rights: OPEN
رقم الانضمام: edsair.doi.dedup.....ff01c41cac4ae97abefbbc2b12e67d0f
قاعدة البيانات: OpenAIRE