Financial Crises as the Failure of Arbitrage: Implications for Monetary Policy

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Saito, Makoto; Shiratsuka, Shigenori;
  • Publisher: Institute for Monetary and Economic Studies, Bank of Japan
  • Journal: Monetary and Economic Studies,volume 19,issue 1,pages239-270 (issn: 0288-8432)
  • Publisher copyright policies & self-archiving
  • Subject: Allocation of liquidity | Financial market instability | Money market operation | Japan premium | Failure of arbitrage
    • jel: jel:E43 | jel:E52 | jel:G21

This paper attempts to view financial crises as the failure of arbitrage among financial markets, and takes the “Japan premium” phenomenon observed in offshore money markets as an important example in favor of this view. In addition, we reconsider, from this perspective... View more
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