We empirically investigate the nonstationarity property of the USD–JPY exchange rate by using a high frequency data set spanning 8years. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov–Smirnov test for the absolute price changes, and Pearson's chi...

Using tick-by-tick data for the dollar--yen and euro--dollar exchange rates recorded on the actual transaction platform, a ‘run’—continuous increases or decreases in deal prices for the past several ticks—does have some predictable information on the direction of the next price movement....

This paper reviews Japanese monetary policy over the last two decades with an emphasis on the experience of deflation from the mid-1990s. The paper is quite critical of the conduct of monetary policy, particularly from 1998 to 2003. The Bank of Japan's rhetoric was not helpful in fighting...

This paper applied the distance to default (DD) measure to five mergers among large Japanese banks during the crisis period. The DD helps us analyze whether mergers that took place in the late 1990s and 2000s made the merged banks financially more robust, as intended. Our findings include: (1) A...

This study examines whether pre-crisis international reserve accumulations, as well as exchange rate and reserve policy decisions made during the global financial crisis, can help to explain cross-country differences in post-crisis economic performance. Our approach focuses not only on the total...

This study examines whether pre-crisis international reserve accumulations, as well as exchange rate and reserve policy decisions made during the global financial crisis, can help to explain cross-country differences in post-crisis economic performance. Our approach focuses not only on the total...

Weak financial supervision was partly responsible for the Global Financial Crisis (GFC) of 2007--2009. The liquidity risk in the special purpose subsidiaries was not well recognized in regulation; there were large financial institutions that escaped rigorous supervision; and the concept of...