The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
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日元作为避险货币的奇怪案例：法证分析
DOI：
10.5089/9781475513424.001.a001
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
W. Lam
中科院分区：
文献类型：
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作者：
D. Botman;Irineu de Carvalho Filho;W. Lam
在避险时期，日元是一种避险货币，平均兑美元升值。我们调查了日元升值的直接原因。我们发现资本流入和对未来货币政策的预期都不能解释日元的避险行为。相反，我们发现市场参与者风险认知的变化会触发衍生品交易，进而导致没有资本流动的即期汇率发生变化。具体来说，我们发现，风险的事件与远期对冲和减少净空头头寸或净多头头寸的日元积累相吻合。这些实证研究结果表明，境外和复杂的金融交易应成为溢出分析的一部分，在某些情况下，资本流动管理措施或货币政策协调在解决汇率过度波动方面的效力可能有限。
During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stancecan explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-offepisodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.
DOI：
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发表时间：
2007
期刊：
International Journal of Finance&Economics 12
影响因子：
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作者：
和田 健夫;新垣修;Takatoshi Ito
通讯作者：
Takatoshi Ito