The Yen Carry Does Not Drive U.S. Note Yields
An increase in Japanese short-term rates will not end the profitability of the yen carry trade. Actions in both American and Japanese yield curves and in the yen option market indicate insurance is being purchased to maintain these trades. The threat of a stronger yen vis-a-vis the yuan will prompt a resumption of official Japanese purchases of U.S. Treasuries and will stop the recent rise in U.S. long-term rates.
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Commentaries — March 3, 2006
The Yen Carry Does Not Drive U.S. Note Yields An increase in Japanese short-term rates will not end the profitability of the yen carry trade. Actions in both American and Japanese yield curves and in the yen option market indicate insurance is being purchased to maintain these trades. The threat of a stronger yen vis-a-vis… Continue reading Untitled