1996 Reports

The commercial paper market in Japan

McKenzie, C. R.

The purpose of this paper is to investigate some of the macroeconomic and microeconomic properties of the commercial paper market in Japan. The commercial paper market is a relatively new market in Japan having been established in November 1987. As a result, little is known about its characteristics at either the macroeconomic or microeconomic level. In the United States, it has been found that issuance of commercial paper is counter cyclical in the aggregate but pro-cyclical at the firm level. The first set of questions investigated relate to cyclical nature of the Japanese market at the firm and aggregate level. Secondly, using a new panel data set, the characteristics and behaviour of individual issuers of commercial paper are also examined. The micro analysis uses data over the period 1988-90 when the commercial paper market was just developing and exhibits some apparent anomalies.