82 records from EconBiz based on author Name

1. News and the Dollar/Yen Exchange Rate, 1931-1933 : the End of the Gold Standard, Imperialism, and the Great Depression

abstract

According to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York hours. The intra-daily dynamics of the $/yen exchange rate from December 1931 to November 1933 is analyzed. Japan's decision to go off gold in December 1931 depreciated yen by 30% in a month, mostly in the Tokyo market. During 1932, the yen depreciated another 30%, mainly due to Japan's aggression in China and resulting diplomatic isolation. In 1933, the yen appreciated against the dollar, mainly in the New York market, due to the U.S. decision to go off gold. However, exchange rate volatility and its sensitivity to news declined over the two year period, because of increasing capital controls. Changes in the interest rate differential was found insignificant for the changes in the exchange rate. Political regime changes, such as a decision to go off gold, most influenced the exchange rate for the period considered. There were no policy decisions by Japan to cause yen depreciation to promote export and limit import in 1931-33

Itō, Takatoshi; Okina, Kunio; Teranishi, Jūrō;
2022
Availability: Link

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2. Policy Duration Effect Under Zero Interest Rates : An Application of Wavelet Analysis

abstract

A major feature of recent monetary policy in Japan has been heavy reliance on the so-called policy duration effect. This policy employs a commitment to compensate for the central bank's inability to lower the interest rate below zero by altering the anticipated course of monetary policy actions. This paper analyzes the behavior of the yield curve and examines the effectiveness and limitations of monetary policy commitment under zero interest rates with four indicators for policy duration effect. Specifically, we extend our previous study (Okina and Shiratsuka (2003)) by applying wavelet analysis to indicators for policy duration effect. As in the previous study, the policy duration effect was found to be highly effective in stabilizing market expectations for the path of short-term interest rates, thereby reducing longer-term interest rates and flattening the yield curve. The policy duration effect, however, failed to reverse deflationary expectations in financial markets

Okina, Kunio; Shiratsuka, Shigenori;
2021
Availability: Link Link

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3. Monetary policy framework and "insurance against deflation"

Hara, Naoko; Kimura, Takeshi; Okina, Kunio;
2008
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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4. Policy duration effect under zero interest rates : an application of wavelet analysis

abstract

A major feature of recent monetary policy in Japan has been heavy reliance on the so-called policy duration effect. This policy employs a commitment to compensate for the central bank’s inability to lower the interest rate below zero by altering the anticipated course of monetary policy actions. This paper analyzes the behavior of the yield curve and examines the effectiveness and limitations of monetary policy commitment under zero interest rates with four indicators for policy duration effect. Specifically, we extend our previous study (Okina and Shiratsuka (2003)) by applying wavelet analysis to indicators for policy duration effect. As in the previous study, the policy duration effect was found to be highly effective in stabilizing market expectations for the path of short-term interest rates, thereby reducing longer-term interest rates and flattening the yield curve. The policy duration effect, however, failed to reverse deflationary expectations in financial markets.

Okina, Kunio; Shiratsuka, Shigenori;
2004
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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5. Policy duration effect under zero interest rates : an application of wavelet analysis

abstract

A major feature of recent monetary policy in Japan has been heavy reliance on the so-called policy duration effect. This policy employs a commitment to compensate for the central bank s inability to lower the interest rate below zero by altering the anticipated course of monetary policy actions. This paper analyzes the behavior of the yield curve and examines the effectiveness and limitations of monetary policy commitment under zero interest rates with four indicators for policy duration effect. Specifically, we extend our previous study (Okina and Shiratsuka (2003)) by applying wavelet analysis to indicators for policy duration effect. As in the previous study, the policy duration effect was found to be highly effective in stabilizing market expectations for the path of short-term interest rates, thereby reducing longer-term interest rates and flattening the yield curve. The policy duration effect, however, failed to reverse deflationary expectations in financial markets.

Okina, Kunio; Shiratsuka, Shigenori;
2004
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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6. Monetary Policy Framework and "Insurance Against Deflation"

Hara, Naoko; Kimura, Takeshi; Okina, Kunio;
2008
Availability:

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7. Reviews

abstract

Books reviewed: Harry F. Campbell and Richard P.C. Brown (eds.), Benefit-Cost Analysis. Kishor Sharma (ed.), Trade Policy, Growth and Poverty in Asian Developing Countries. Bruno S. Frey and Alois Stutzer (eds.), Happiness and Economics. Robert C. Allen, Farm to Factory: A Reinterpretation of the Soviet Industrial Revolution. Lucio Russo (ed.), The Forgotten Revolution: How Science Was Born in 300bc and Why It Had to Be Reborn. Anthony Richards and Tim Robinson (eds.), Asset Prices and Monetary Policy. Bezalel Peleg and Peter Sudholter (eds.), Introduction to the Theory of Cooperative Games

Kingston, Geoffrey; Doucouliagos, Hristos; Fane, George; Fruters, Paul; Gill, Graeme; Magee, Gary; Okina, Kunio; Beard, Rodney;
2008
Availability: Link

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8. The Thirteenth International Conference "Financial Markets and the Real Economy in a Low Interest Rate Environment," Introduction Summary

Okina, Kunio; Baba, Naohiko;
2006
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9. The policy duration effect under zero interest rates : an application of wavelet analysis

Okina, Kunio; Shiratsuka, Shigenori;
2006
Type: Aufsatz im Buch; Book section;

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10. The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers," Introduction,

Okina, Kunio; Fujiki, Hiroshi;
2005
Availability:

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