The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
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 stance can explain the yen's safe...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2013
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 13/228 |
| Online-Zugang: | BSB01 FAN01 FHA01 FKE01 FLA01 FNU01 LCO01 SBG01 SBR01 TUM01 UBA01 UBG01 UBM01 UBR01 UBT01 UBW01 UBY01 UEI01 UER01 UPA01 Volltext |
| Zusammenfassung: | 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 stance can 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-off episodes 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 |
| Beschreibung: | 1 Online-Ressource (21 p) |
| ISBN: | 1475513429 9781475513424 |
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| index_date | 2024-07-03T20:13:14Z |
| indexdate | 2024-07-10T09:35:21Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Botman, Dennis P. J. 1972- Verfasser (DE-588)171782836 aut The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis Botman, Dennis P. J Washington, D.C International Monetary Fund 2013 1 Online-Ressource (21 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/228 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 stance can 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-off episodes 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 Online-Ausg Carvalho Filho, Irineu de Sonstige (DE-588)132669463 oth Lam, Raphael W. Sonstige oth http://elibrary.imf.org/view/IMF001/20883-9781475513424/20883-9781475513424/20883-9781475513424.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Botman, Dennis P. J. 1972- The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis |
| title | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis |
| title_auth | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis |
| title_exact_search | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis |
| title_exact_search_txtP | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis |
| title_full | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis Botman, Dennis P. J |
| title_fullStr | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis Botman, Dennis P. J |
| title_full_unstemmed | The Curious Case of the Yen as a Safe Haven Currency A Forensic Analysis Botman, Dennis P. J |
| title_short | The Curious Case of the Yen as a Safe Haven Currency |
| title_sort | the curious case of the yen as a safe haven currency a forensic analysis |
| title_sub | A Forensic Analysis |
| url | http://elibrary.imf.org/view/IMF001/20883-9781475513424/20883-9781475513424/20883-9781475513424.xml |
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