Japan's financial deregulation and linkage of the Gensaki and Euroyen deposit markets
研究日本金融放松管制是否削弱了欧洲日元与Gensaki市场的联动，通过分析收益率价差的持续性和可预测性以及跨市场因果关系，发现放松管制后一个月期Gensaki-欧洲日元价差对冲击的反应变慢。
Abstract This paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyses the linkage of the two markets in terms of the persistence and predictability of yield spreads, as well as cross‐market causality. By using Johansen tests and an error correction model, this paper shows first, cross‐market causality before and after deregulation; and second, one common trend in interest rates, substantial Gensaki—Euroyen yield spreads, and a slower response of the one‐month Gensaki—Euroyen yield spread to a shock after deregulation.