论文标题
使用随时间变化的参数模型评估日本前日本的金融市场职能
Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
论文作者
论文摘要
本文探讨了金融市场何时使用新数据集在FAMA（1970）的半突变市场效率上丧失了日本前日本的价格形成功能。我们特别关注战前日本金融市场与几种政府政策干预措施之间的关系，以探讨半挥舞的市场效率是否随着时间的推移而发展。为了捕捉政府政策干预对市场的长期影响，我们根据Ito等人（2014; 2017; 2017）概括了时变的市场效率和随时间变化的冲动响应。 The empirical results reveal that (1) the joint degree of market efficiency in the prewar Japanese financial market fluctuated over time because of external events such as policy changes and wars, (2) the semi-strong form EMH is almost supported in the prewar Japanese financial market, (3) Lo's (2004) adaptive market hypothesis is supported in the prewar Japanese financial market even if we consider that the public information affects the financial markets, and (4) the prewar Japanese金融市场在1932年失去了价格形成功能，这是市场的转折点。
This paper explores when the financial market lost the price formation function in prewar Japan in the sense of Fama's (1970) semi-strong form market efficiency using a new dataset. We particularly focus on the relationship between the prewar Japanese financial market and several government policy interventions to explore whether the semi-strong form market efficiency evolves over time. To capture the long-run impact of government policy interventions against the markets, we measure the time-varying joint degree of market efficiency and the time-varying impulse responses based on Ito et al.'s (2014; 2017) generalized least squares-based time-varying vector autoregressive model. The empirical results reveal that (1) the joint degree of market efficiency in the prewar Japanese financial market fluctuated over time because of external events such as policy changes and wars, (2) the semi-strong form EMH is almost supported in the prewar Japanese financial market, (3) Lo's (2004) adaptive market hypothesis is supported in the prewar Japanese financial market even if we consider that the public information affects the financial markets, and (4) the prewar Japanese financial markets lost the price formation function in 1932 and that was a turning point in the market.
