We investigate how and to what extent the Japanese government intervened in the rice futures market in Osaka during the interwar period, from the late 1910s to 1939, using a time-varying AR model . We found the two facts by featuring the time-varying nature of the market efficiency. First, the intervention with discretionary power disrupted the rice market and reduced market efficiency in the exchange under the Rice Law in 1921 than the following second case . Second, the market remained efficient while traders pondered seasonally patterned interventions of the governmentbased on the Rice Control Law established in 1933. When the government obtained the discretionary power to operate the policy regarding commodity market, the market efficiency often reduced. Conversely, even if the government implemented a large intervention, the market efficiency improved when the government 's discretionary power was controlled by the law.
We investigate the relationship between market efficiency of rice futures transaction in Osaka and the Japanese government intervention in rice distributions by directly buying and selling rice during the interwar period, from the middle 1910s to 1939, considering the context of "discretion versus rules." We use a time-varying VAR model to compare market efficiency and the government's actions over time . We found the two facts by featuring the time-varying nature of the market efficiency. First, the intervention with discretionary power disrupted the rice market and reduced market efficiency in the exchange . Second, the market efficiency improved in accordance with reduction in the government's discretionary power to operate the rice policy. When the government obtained the discretionary power to operate the policy regarding commodity market, the market efficiency often reduced. Conversely, even if the government implemented a large-scale intervention, the market efficiency improved when the government chose a systematic rule-like behavior following the law.
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how and to what extent
the relationship between market efficiency of rice futures transaction in Osaka and
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intervened in the rice futures market in Osaka
intervention in rice distributions by directly buying and selling rice
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late
middle
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using
considering the context of "discretion versus rules." We use
R
AR model
VAR model to compare market efficiency and the government's actions over time
D
under the Rice Law in 1921 than the following second case
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remained efficient while traders pondered seasonally patterned interventions of the governmentbased on the Rice Control Law established in 1933.
efficiency improved in accordance with reduction in the government's discretionary power to operate the rice policy.
R
large
large-scale
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's discretionary power was controlled by
chose a systematic rule-like behavior following