This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral...

The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. Contrary to this, recent studies indicate that nominal exchange rates converge much more slowly to PPP than nominal prices. This paper investigates how adjustment speeds of...

The literature on real exchange rate fluctuations is precisely divided by the views regarding their source. One emphasizes the relative price of nontraded goods to traded goods by assuming nominal rigidities in the nontraded sector or in the factor prices. The other stresses the importance of...

This paper explores whether official intervention signaling effects on short-run exchange rate movements depend on market conditions. We find evidence that announced interventions significantly affect the level and reduce the volatility of the yen/dollar rate when traders' expectations of future...

Despite the downward trend of land prices and the ex-post low return on real estate loans, Japanese banks increased their lending to the real estate sector during the 1990s. We argue that this phenomenon can be explained by the risk-shifting incentives of banks and discover that banks with low...

In this paper, we argue that the bank-led rescues of financially distressed firms in the heyday of the main bank system was inefficient since banks' implicit guarantee against bankruptcy resulted in moral hazard. The empirical results show that during the period before the financial deregulation...