Identifying a Liquidity Effect in the Japanese Interbank Market
利用1996-1999年日本银行间市场数据，通过隔夜利率的即期与远期价差对临时流动性冲击的回归，识别出准备金对利率的流动性效应，尤其1997年山一证券危机前显著。
This article examines whether there was a liquidity effect in the Japanese interbank market for reserves during the period from January 4, 1996, to February 12, 1999. According to the standard martingale model, the only determinant of the overnight rate during the reserve maintenance period is the rate that is expected to prevail on the settlement day (the last day of the period), but this model ignores the fact that reserves are used for interbank payments. If overdraft costs are introduced into banks' reserve management problem, the overnight rate will also depend on what this paper calls the reserve surplus, which captures the liquidity effect of reserves. We identify the liquidity effect by exploiting two institutional features. First, the overnight rates observed in the morning are forward rates for a contract to be settled later in the day. Second, changes in reserves that are due to factors other than open market operations are rendered temporary through defensive operations by the Open Market Desk. We show that the liquidity effect can be identified from the regression of the spot‐forward differential on these temporary liquidity shocks. Our estimates indicate that there was a liquidity effect, at least before the Yamaichi debacle of November 1997.