The Broad Yen Carry Trade

Masazumi Hattori and Hyun Song Shin
Additional contact information
Masazumi Hattori: Deputy Head of Economics Section, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: masazumi.hattori@boj.or.jp)

No 07-E-19, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency carry trades, but also fund the general increase in balance sheets of hedge funds and financial intermediaries. The difference in overnight rates across countries is a crucial determinant of balance sheet changes. Domestic monetary policy thus has a global dimension.

Keywords: Yen carry trade; liquidity; risk appetite; monetary policy (search for similar items in EconPapers)
JEL-codes: F31 G21 G24 (search for similar items in EconPapers)
Date: 2007-10
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (14)

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Related works:
Chapter: The Broad Yen Carry Trade (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:07-e-19

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