In this paper, we examine the foreign exchange exposure of a sample of U.S. and Japanese banking firms. Using daily data, we construct estimates of the exchange rate sensitivity of the equity returns of the U.S. bank holding companies and compare them to those of a sample of Japanese banks. We...

This paper studies the objectives and operating procedures of the Bank of Japan (BOJ) during the period 1975-94. To do this we adapt Bernanke and Mihov's (1995) structural VAR model, which nests several alternative hypotheses concerning central bank behavior. In particular, the model separately...