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The Broad Yen Carry Trade

In: Globalization And Systemic Risk

Author

Listed:
  • Hyun Song Shin

    (Princeton University, USA)

  • Masazumi Hattori

    (Bank of Japan, Japan)

Abstract

The following sections are included:IntroductionInstitutional BackgroundA First Look at the DataTotal assets of foreign banks in JapanBroad yen carry tradeCarry Trades and Risk AppetiteCarry Trades and Monetary PolicyConcluding RemarksReferences

Suggested Citation

  • Hyun Song Shin & Masazumi Hattori, 2009. "The Broad Yen Carry Trade," World Scientific Book Chapters, in: Douglas D Evanoff & David S Hoelscher & George G Kaufman (ed.), Globalization And Systemic Risk, chapter 11, pages 169-189, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812833389_0011
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    References listed on IDEAS

    as
    1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    2. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and financial cycles," BIS Working Papers 256, Bank for International Settlements.
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    Cited by:

    1. Darvas, Zsolt, 2009. "Leveraged carry trade portfolios," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 944-957, May.
    2. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
    3. Ronald McKinnon & Zhao Liu, 2013. "Modern Currency Wars : The United States versus Japan," Finance Working Papers 23714, East Asian Bureau of Economic Research.
    4. Dr. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
    5. Prasanna Gai & Kamakshya Trivedi, 2008. "Funding Externalities, Asset Prices And Investors' "Search For Yield"," CAMA Working Papers 2008-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Eiji Ogawa & Junko Shimizu, 2011. "Asian Monetary Unit (Amu) As A Surveillance Indicators For Regional Monetary Cooperation," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 67-83.
    7. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    8. OGAWA, Eiji & 小川, 英治 & WANG, Zhiqian, 2014. "How Did the Global Financial Crisis Misalign East Asian Currencies?," Working Paper Series G-1-8, Hitotsubashi University Center for Financial Research.
    9. OGAWA Eiji & Zhiqian WANG, 2013. "How Did the Global Financial Crisis Misalign East Asian Currencies?," Discussion papers 13096, Research Institute of Economy, Trade and Industry (RIETI).
    10. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December.

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    More about this item

    Keywords

    Globalization; Banking; Financial Markets; Systemic Risk; Financial Crisis; Contagion;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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