Abstract. This paper examines changes in liquidity of the stock market and foreign exchange market in response to monetary policy announcements of the Bank of Japan. In Japan, an unconventional monetary policy started from the year of 2001.This article reports on an empirical examination of the period from the beginning of the unconventional monetary policy to the present. Liquidity impairment in the foreign exchange market in Japan associated with announcements and conduct of monetary policy does not occur; however, such impairments normally do not occur. For the Japanese stock market, trade volume is associated with liquidity and the phenomenon occurs on the usual days. Market participants who obtain information about monetary policy are not subject to surprise and markets impairments do not happen as a result of the conduct of monetary policy in Japan. At least, these markets do not accept monetary policy conduct as a surprise.Keywords. Foreign exchange market, Liquidity, Monetary policy, Stock market.JEL. E52, E58, F31, G12.
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