yen dollar exchange rate trend analysis and medium term forecast to april 2012

PART 1:

ANALYSIS ON THE MOVEMENTS IN THE VALUE OF THE JAPANESE

YEN (JPY) AGAINST THE US DOLLAR (USD) SINCE 2000

2

TABLE OF CONTENTS

Part 1……………………………………………………………………………….1

Introduction…………………………………………………………………………3

JPY/USD Spot rate Graph January 2000-August 2011………………….…………4

Trend 1 Analysis……………………………………………………………………5

Trend 2 Analysis…………………………………………………………………….9

Trend 3 Analysis……………………………………………………………………

Trend 4 Analysis……………………………………………………………………

Conclusoin…………………………………………………………………………

Part 2 …………………………………………………………………………………..

Technial Analysis ()Econometrics model) …………………………………………

RELATIVE PURCHASING POWER THEORY………………………………

Internation fisher effect……………………………………………………………..

Forward rate Figures…………………………………………………………………

3

INTRODUCTION

The Yen/US$ exchange rate has been a target to many researchers since early times

due to its unique trend. The report seeks to analyze these movements in regard to the

period between January 2000 and October 2011. With the aid of published macro

economic data and a wide range of sources including news events, articles and

journals the movement of this Bi-lateral exchange rate can be explained in much

detail. The analysis will be divided into trends, as seen in the JPY/USD graph in the

next page the trends to be analyzed are as follows:

I. TREND 1: 2000-2002

II. TREND 2: 2002-2005

III. TREND 3: 2005-2007

IV. TREND 4: 2007-2011(to-date)

Part 2 of the report seeks to forecast the JPY/USD exchange rate for the 30th

April

2012 using technical and fundamental methods of analysis. This rate will be used to

estimate how much Yen will be obtained in converting the USD 10 million sale of

machinery in 6months time to Yen.

5

TREND 1 ANALYSIS: 2000-2002

The Yen was quite stable against the dollar between the late 1990s and the beginning

of 2000 before it began to depreciate towards the end of 2000. The Yen could be

exchanged for as low as ¥108.34 per US$1 (as of October 2000), and ended at a high

of highest of ¥133.53 per US$1 in February 2002 (illustrated in the graph below).

From our analysis on this trend; this short-term depreciation in the Japanese Yen

against the US Dollar was caused by some series of events that occurred in the US

and the actions of the Japanese Monetary Authority.

Graph 1 JPY/USD exchange rate graph (Trend 1)

Summary of the Main causes for the Yen/US trend in 2001-2002:

10th

March 2000 The US stock market collapse and the Japanese intervention

19th

March 2001 Bank of Japan Quantitative Easing and Carry Trade

Trend 1

6

The US stock market collapse and the Japanese intervention

According to (Heiney, 2011) the 10th

march, 2000 was the day the ‘dot com bubble

burst’, which led to the collapse of the NASDAQ US stock market. A fall in investor

confidence on the profitability of the IT industry brought about the panics among

investors ultimately leading to the collapse of the stock market and a fall in demand

for the US$. Logically we would expect the YEN/USD exchange rate to appreciate

but this did not happen hinting that there were other factors that could be attributed to

this phenomena. News, articles, and several reports show evidence that the bank of

Japan interfered in the FOREX markets to prevent the yen from appreciating. The

table below shows the gradual increase in the foreign reserves during this period.

TABLE 1 Japan’s GDP growth rate, Yen/Dollar exchange rate and Foreign Exchange

Rate Reserves 1970- 2007

Source: (Nanto, 2007)

After the September 11 attacks of the world trade center, the Dow Jones industrial

average also began to fall and ultimately crashed in the final two quarters of 2002 thus

worsening the US condition. To protect their foreign industries, the Japanese

government amplified its foreign market intervention regime to prevent the Yen from

7

appreciating against the dollar and to lift the US economy out of the ‘dot com’

recession. The Japanese government sold Yen and purchased US dollars in the

FOREX market and simultaneously invested in the US treasuries, which helped keep

US interest rates as low as 1% (Appendix 1) also helping in moving the US out of

recession.

Quantitative easing monetary Policies and The Carry Trade (March 2001)

The Japanese government initiated the Zero interest rate policies in the 1990s to

combat deflation and slow economic growth by boosting expenditure to drive its

economy out of recession. The policies were not successful, as the economic situation

did not strengthen. (Reuters, 2011) reported that BOJ adopted Quantitative Easing

(QE) strategy in 19th

March 2001 where it expanded the variety of securities they

would purchase such as long-term treasuries, asset-backed securities and equities.

Under QE, The BOJ increased its monthly purchases of long-term government bonds

steadily from 400 billion to 1.2 trillion yen between March 2001 and October 2002

(Ito & Mishkin, 2011). This strategy flooded Japan’s financial system with liquidity,

which lowered interest rates (Call rates) and hiked prices of financial assets, lowering

their yield. The Nikkei dropped by 28% (Lien, 2008), because investors were not

finding Japan assets any profitable, thus liquidating their yen-assets to invest in other

high-yielding earning countries. The supply of the yen increased thus weakened the

JPY/US$ by roughly 18.5%.

The Q.E strategy succeeded but gave rise to Carry trade. Carry trade is an

investment strategy in which an investor borrows from a country with a low interest

rate and invests it in a country with a high interest rate. The currencies involved are

8

called funding currency and target currency, respectively (Tosborvorn, 2010). As the

Japanese interest rates were low relative to other countries, (graph 2), investors began

borrowing in Yen and purchasing US securities. This resulted in the depreciation of

the borrowed currency (the Yen), which is evident in the trends 1995-1998, 2000-

2001 and 2004-2007 all displaying the same relationship (ticker, 2008).

Graph 2 Interest Rates of the world’s largest economies

Source:( Reserve bank of Australia, 2011)

9


The Yen/US dollar exchange rate hit a high of ¥133.53 per US$ in February 2002

before it began to appreciate not so sharply as expected, possibly because of Japanese

government forex interventions revealed later in the year reaching a low of ¥103.27

per US$ in January 2005.

Graph 3 JPY/USD Exchange Rate Graph (Trend 2)

The Main causes for the Yen/US trend fluctuations in 2002-2005:

Early 2001- late 2003 Early 2000s US recession

11th

September 2001 – 20th

March 2003 Terrorism and Iraq war prospects

2003 Massive interest rate cuts by the US Federal

reserve

2000-2005 Inflation differentials between US and Japan

Trend 2

10

Early 2000s US recession (2001-2003)

The effect of the FOREX intervention by the BOJ in the previous trend did not

last for long as the Yen began appreciating in 2002. This was due to a fall in investor

confidence on the receding US economy coupled with the 9/11 attacks and accounting

scandals by many listed companies in the stock market. The foreign demand for US

based securities declined leading investors to liquidate US stock holdings of these

companies as seen in the graph 4 below showing the decline in FDI investments, net

purchase of dollar assets, stocks between 2001 and 2004. This led to the increase in

supply of the dollar depreciating the dollar relative to the Yen.

Graph 4 US Capital Flows

Source: (Optometrica, 2008)

Terrorism: Prospects of War with Iraq, and uncertainty regarding North

Korea (11th

September 2001- 20th

March 2003)

The beginning of Iraq war pioneered by George Bush caused the US to engage in

massive spending and printing of money that involved issuing of debt securities. This

increased US net foreign debt and accelerated the depreciation of the US$. Substantial

11

foreign debt raises default risk probing risk-averse investors to shift their investments

to assets with lower risk. Investors began selling out some of their US$ denominated

securities thus decreasing the demand for the US$. Prospects of a nuclear war with

North Korea in January 2002 increased investment risks to investors (BBC, 2001) as

US political risk grew.

Massive interest rate cuts by the US Federal reserve (2003)

Due to the early US recession in 2003 the US Federal Reserve cut the interest rates

rapidly from 6.5% to 1% in June 2003 to encourage spending (Graph 5) by increasing

the monetary base to about $753 billion. This lowered the yield on the US securities

making them less attractive to investors, therefore the US dollar demand fell, leading

to depreciation in the US$ vis-à-vis the Yen.

Graph 5 US federal fund rate

Source: (Reserve Bank of Australia, 2011)

During 2001-2002 the interest rate differentials between Japan and US were high

of about 5.5%. Which resulted in the carry trade that led to the appreciation in the

12

US$, but since the federal reserve lowered their interest rates to a differential of 1% as

explained in the previous page, the reasons for carry trade became obsolete and

stopped. This is good explanation as to used to why the direction of the Yen/US$

exchange rate changed in 2002 and began appreciating.

Inflation differentials between US and Japan (2000-2005)

The Table 2 below shows that while Japan still faced deflation between 1999-2005

the US faced a mild inflation. These inflation differentials made the Japanese

companies more competitive than the US exports, mostly gaining their advantage

from low inflation rates that result in cheaper prices than those of the US. This

translates to a higher demand for Japanese products thus a higher demand for the yen,

The U.S trade gap in November 2002, for example, ballooned to a record $40 billion

(Ito & Mishkin, 2011).

Table 2 Inflation rate of the US and Japan

Country 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

United States 2.2 3.4 2.8 1.6 2.3 2.5 3.2 2.5 2.9 3.8 -0.3 1.4

Japan -0.8 -0.7 -0.8 -0.9 -0.3 -0.1 -0.3 0.3 0.1 1.4 -1.4 -0.7

Source: (CIA World Factbook, 2011)

13


From the constructed exchange rate graph below we see that the Japanese yen went

through a period of depreciation between the years 2003 to mid-2007 during which it

attained a low of 124.14 against the dollar. The percentage depreciation of the yen hit

a staggering 19.37% during this period.



Early 2004- Late 2006 Expansion of the US economy

2005 onwards Carry Trade

Expansion of the US economy

Having gone through a depreciating period between the years 2002 to 2004 because

of weak economic performance in the United States, 2005 highlighted a strong

economic growth compared to other countries and the dollar was able to change its

course and appreciate steadily. Increases in domestic interest rates by Federal Reserve

Trend 3

14

by a quarter of 1% and large wealth storages by oil rich countries in the United States

were the main reasons for this rise. According to (Elwell, 2008) this led to an

increase in net inflow of foreign funds from $186 billion in 2004 to $585billion in

2005 hence the dollar appreciated. As supply of dollar remains constant, increasing

demand resulted in a strong appreciation of 14% against the yen and 11% against the

euro (Craig Elwell, 2008).

Carry Trade

The yen vs. USD exchange rate was largely affected by the carry trade incidence that

heightened in the years between 2005 and 2007. The Yen appreciated to around 105

yen per dollar beginning of 2005 but depreciated to 121.4 yen per dollar at the end of

the year before rising slightly to 119 yen by 1st quarter of 2007. This was due to the

Japanese soaring carry trade between 2005 and 2007 as there was large scale

borrowing of the Japanese yen by investors and speculators who sold it off and

invested in riskier assets. These assets ranged from US subprime mortgages and

volatile commodities, emerging markets bonds and stocks and high yielding

currencies like the Euro. Source:

A vicious circle began as the carry trade sky-rocketed leading to the depreciation of

the borrowed Yen whilst the US risky assets prices soared from high demand.

Massive carry trades of the yen saw the dollar appreciating to 124.14 yen in 2007

which took the yen to a 22nd

low on real effective exchange rate basis. In comparison

to 2005 value, the yen had gained about 25% its value on the real effective exchange

rate as seen on the Graph below.

15

Graph 7 The JPY/USD Real Effective Exchange Rate (REER)

Source : Bank of Japan, 2011

16

¥70

¥82

¥94

¥106

¥118

¥130

Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11

y = -0.7725x + 118.21

JPY/USD Spot Rate (Mar ’07 - Aug ’11)

JP

Y/U

SD

Rate

Time Period

Spot rate Linear Trend


The following is an analysis of the downward trend shown by the JPY/USD

exchange rate for the period between June 2007 and August 2011. In the mentioned

period, the yen strengthened by 37.14% to a record high of 77.09 against the dollar.



Trigger Reason – 2007 US Financial Crisis

Unwinding of Yen Carry Trade

Falling confidence in the US Dollar

March 2011 Earthquake

17

Trigger reason - Financial Crisis caused an appreciation in the Yen.

The trigger of this sharp increase in the exchange rate was the financial crisis that

begun in the US in the summer of 2007. This collapse had a direct impact on

confidence of investors in the US economy and the carry traders.

Unwinding of the Yen Carry Trade (YCT)

The only cache to the YCT is that if the yen strengthens (or the opposite currency

weakens), the investors will receive a much lower yen amount after converting. This

may sometimes not be enough to service the borrowed yen and the investors would

get huge losses (most of the YCT flows were leveraged, with losses or profits

increasing in magnitude proportional to the leverage ratio). Investors were confident

that an undesirable movement of the either the yen or the opposite currency was

unlikely - Japan's real economic growth rate was between 0% and 3% in the period

from 2000 to 2007 and not much expectation of strengthening. The Bank of Japan

would not interfere with depreciation in the yen because it helps boost demand for the

exporters. As most investments were in countries with large and stable economies

such as the U.S and the U.K (before 2007), the proponents of the YCT dismissed it as

unlikely for any unfavorable movement of their currencies. This went well until the

global financial crisis began in the U.S. The U.S. treasury rates went from 5.25% in

June 2007 to almost 1.5% at the start of 2008 while the dollar began to weaken.

Investors panicked and liquidated their holding (estimated $900bn) then converted

them into Yen to repay their loans. The high demand for the yen spiked it against the

dollar hence the sharp downward trend in the figure above. The U.S. Treasury rates

fluctuated between 0% and 0.5% from 2009 to date - making the YCT less valuable

as during the pre-2007 period. In the conclusion of their paper, Masazumi, H. and

18

Hyung Song (2009) remark that ‘in the lead-up to the credit crisis of 2007/8,

purchases of mortgage assets and related securities by hedge funds and their

intermediaries was financed (at least in part) by money that was ultimately borrowed

in Japan.’ At the credit bubble burst the borrowers ‘had to unwind such bets by

selling mortgage assets and repaying their Japanese creditors.’ The result was ‘the

conjunction of a fall in asset prices and a fall in the US dollar.’

Falling confidence in the US dollar (also, reference to China' purchase of Japan

Debt).

High demand for the yen in the foreign exchange market strengthened the yen. The

Treasury Secretary in the U.S. announced to the Congress that the U.S. government

had officially reached its $14.3 trillion debt limit in May 2011 but was raised up to

$2.4 trillion. The US image was tainted by the initial threats in July by Moody's of a

credit downgrade and warnings by Standard & Poor's of a 50 percent chance of

downgrading the U.S. credit rating within three months because of the tussle. For the

first time in history of the U.S, the credit rating was downgraded to AA+ from their

normal AAA. Market confidence in the U.S. declined substantially and investors sort

safer and attractive investments elsewhere. With the inflation in Japan averaging to

0.23% this year with deflation in some months (-0.10% in January and -0.20% in

June), Toyoo Gyohten (2011) argues that the rising purchasing power of the yen is

attracting investors now wary of the U.S economy. Even the European markets are

quite unattractive with the sovereign debt crisis still unfolding. By August 2011 (after

the U.S. credit rating downgrade), China had bought a net of ¥345.6 billion. This

coupled with investors diversifying away from the dollar increased the demand for the

yen and reduced the demand for the dollar, causing the yen to appreciate

considerably.

19

March 2011 Earthquake

In the aftermath of the Tōhoku earthquake and tsunami in March this year, Japan

received an influx of donations for relief in various countries’ currencies. Conversion

of the various currencies to the Yen pushed up the demand for the yen and

strengthened it. The total figure of the donations is difficult to compile. To cover such

bills, the multinational insurance companies in Japan had to liquidate their foreign

assets, thus adding to the appreciation.

Conclusion:

Our analysis of the JPY/USD trend over the past decade illustrates that overall the yen

has been appreciating. This has primarily been due to the current economic instability

in the US and European countries. The non-ending credit crunches, continuous

speculation and long term debts in both Japan and Us weigh heavily on the trend

followed by their currencies. The PPP theory holds that ignoring the short-term

trends, and looking at long run, the Yen should appreciate. Furthermore Japan’s

inflation rates are very low and the current account is in surplus which signals an

appreciation.

20

PART 2:

FORECAST ON THE VALUE OF THE ANALYSIS ON THE EXCHANGE

RATE JAPANESE YEN (JPY) AGAINST THE US DOLLAR (USD) ON 30TH

APRIL 2012

21

In this section, we will attempt to forecast the rates for the JPY/USD for the month of

April 2012. The methods used will be a combination of technical and fundamental

analysis. In our opinion these will have a much higher weight than forward rates,

which are the known unbiased estimators of future exchange rates. The arguments

will be outlined after each method has been used stating their possible weaknesses.

FORWARD RATES:

These forward rates quoted below from banks and trading sites are to be used as a

proxy (Baseline) for the forecast estimate.

Soneri bank ltd (Pakistan)- April 2012 ¥76.52/$*

Maybank SDN BHD ¥73.73/$*

FX street ¥76.46/$

Forexpros ¥74.67/$

*Estimated using cross rates.

22

THE TECHNICAL ANALYSIS METHOD:

We made use of the econometrics approach to forecasting. It is widely accepted

that no matter what the fundamentals could be, there is always an underlying trend.

The trend is identified by observing past exchange rate movement in the hope of

being able to predict the future rates. The forecast here is for 6 months, which is

sometimes known as the 'medium term'. In our analysis, we used the exchange rate

movements from 2007, and not 2000. The main reason for this is the fact that the

fundamentals had changed in 2007, during and at the aftermath of the global financial

crisis. It was a unique event that led to major changes in the regulation systems,

capital mobility, investor confidence and other crucial determinants of the foreign

exchange rate. It would be unwise to use data that stretches too far back because it is

unable to capture the important changes after 2007. Also, by careful observation, it is

clear that after 2007, the JPY/USD exchange rate shows a trend not observed before.

The technical analysis software we use is dependent upon every data point and cannot

differentiate between such observations, we decided to omit pre-2007 data because it

would compromise our medium term forecast.

Another important point to note is our selection of variables. Our analysis of the

11-year trend in the first question led us to believe that the most important

observable determinants of the JPY/USD foreign exchange were: the interest rates,

the inflation rates and the economic growth rates. Almost all of the reasons that we

used to explain the trend had an element of either all or some of these variables.

However, these were not the only variables - there are others (quite important), both

observable and non-observable variables that also explained the trend. We cannot

23

include all of them because the software dictates that adding more variables will

compromise the accuracy of the forecast - we wish to avoid this.

Lastly, the data is a time-trend data that is subject to serial correlation according to

the econometricians. The main cause of serial correlation is 'omission of variables

that follow some kind of trend over time'. Because we omitted such variables as

explained above, we had to get over the problem of serial correlation by using the

Cochrane-Orcutt model. The results of our regression are as follows:

24

Table 4.Forecated Variables

Forecasted Variables US Japan

Interest rates 0.16 0.1

Inflation rate* 0.9 0.2

US real gdp growth rate** -0.4 0.55

* The inflation rate was adjusted for April 2012(monthly wise)

**The real gdp growth rate was quoted quarterly but was adjusted to monthly in line with

our model by dividing by quarterly rates by 3

Source: forecasts.org, Bank of Japan.

Substituting the forecasted variables in the econometric model above gives a

forecasted spot rate of ¥82.43/$ for 30th

April 2012.

Spot rate (¥/$) = 80.678 + 3.648usintr + 8.550jpintr + 0.104usinfr + 1.523jpinfr +

0.265usrgdpgrwth + 0.045jpgrdpgrwth

Key:

usintr - US interest rate

jpintr - Japan interest rate

usinfr – US inflation rate

jpinfr – Japan inflation rate

usrgdpgrwth - US real gdp growth rate

jprgdpgrwth – Japan real gdp growth rate

Econometrics model (Spot rate equation):

25

RELATIVE PURCHASING POWER PARITY:

Demirag and Goddard (1994) state that relative Purchasing power parity takes into

account the necessary adjustments in exchange rate between two countries by

comparing the changes in the ratio of domestic prices relative to foreign prices from a

time when exchange rate is in equilibrium. RPPP holds that relative variations in

prices between two countries over specified period of time tends to determine the

exchange rate for those countries.

US Japan

Inflation rate 0.9% 0.2%

JYP/USD Spot rate as at November 2011(average)=77.52¥ per US$1

Table 5.Source: Forecast.org, Tradeeconomies.com, XE currency (2011)

Given the Data above; If the RPPP holds, we expect the US$ to depreciate against the

Japanese yen in April 2012 by the 0.7% (the differential)

Therefore, the current spot rate being S1 = 77.52¥,

RPPP forecast (Yen/US Spot rate) S2= S1 x (1-0.7%)

S2= 77.52*0.993

S2= 76.98

RPPP forecast (Yen/US Spot rate): ¥76.98/$.

Most researchers have found PPP to be highly inaccurate in short term

forecasting due to great and frequent deviations from the actual exchange rate and the

forecasted amount. They mostly regard its credibility towards medium and long-term

estimates. Henley Forecasting Centre and Webster (1987) backed these claims.

Edison (1987) studied the exclusiveness through the dollar/pound exchange

rate for the years 1890 to 1978. After considering the variations in the structural

26

factors she found out that the proportionality between exchange rate and relative price

levels is only significant in the long run. She advocates that PPP holds for medium

and long-term periods and fails in the short run.

Since our forecast is for six months, the RPPP forecast may be somewhat

unreliable. Hence, less weight will be put on it as a good forecast measure.

THE INTERNATIONAL FISHER EFFECT:

The relative interest rates of the U.S. and Japan play an important role in the

determination of the JPY/USD rate. Here we use the international fisher effect parity

condition that relates the interest rates between Japan and the U.S. and their spot

exchange rates. The forecast formula for the fisher effect is:

Data collected:

Japan Interest rates (November 2011) = 0.05%

US Interest rates (November 2011) = 0.13%

JPY/USD spot rate (November 2011) = 77.69

The resulting spot rate should be ¥84.10/$ in 6 months’ time.

27

Our advice to the Firm:

We would like to highlight a few factors that are of considerable importance but not

reflected in our forecasts.

1. There is planned intervention in the yen by the G7 countries. This is to weaken

the yen in the hope of boosting exports that would support the Japanese

companies. The magnitude of this intervention is still unfolding in the current

news. The impact cannot be estimated yet and we cannot, at this point know

how the yen would be affected – but we are confident it would weaken the yen

considerably. Minister Fumihiko Igarashi the Vice Finance Minister in Japan

made statements in August that he was watching the rate closely and that the

government was ready to intervene (Bloomberg).

2. The EU sovereign debt crisis is still unfolding. The direction it is going, and

its ultimate end is still a mystery – there is news that the EU zone will be

divided. The EU countries are expecting cash rich countries like China and

Japan to buy off the debts. There is strong evidence that Japan is ready to help.

This will flood the market with yen and depreciate it. We cannot estimate to

what level of commitment Japan is willing to go, but we are confident that the

depreciation of the yen will be higher than forecasted.

3. Japan is hit by natural disasters every now and then. We cannot be held

responsible if our forecasts get distorted by an unforeseen disaster(s) between

now and April next year.

4. Unrest in the US and the violent occupy Wall Street movements add to the

negative political bleakness, which makes investors re-consider their positions

in the US financial assets. If this situation worsens we expect depreciation in

the US$. This may distort our econometric forecast of the depreciation in yen.

28

Conclusion:

Summary of the forecast for the JPY/USD exchange rate on 30th

April 2012

Forward rates* ¥75.35/$

Technical analysis method (Econometrics) ¥82.43/$

International Fisher effect ¥84.10/$

Relative purchasing power parity ¥76.98/$

*Average of the 4 quoted market rates (bid price) given we are selling

$10,000,000 and buying Yen in 6 months time

The technical analysis and the international fisher effect hint that the JPY/USD

exchange rate will begin to depreciate in the 6 months. While the other two methods

still insist that the exchange rate will continue to appreciate. Taking into consideration

of the qualitative factors mentioned on the previous page, we expect the Yen to

depreciate as the actions of the G7 and Japanese government weigh more importance

in future expectations hence the JPY/USD exchange rate will range between ¥82.43/$

and ¥84.10/$ on 30th

April 2012.

29

References:

AIR Worldwide (2011) AIR Worldwide Releases Preliminary Estimate of Insured

Losses for the M9.1 Tohoku Earthquake, [online] Available at: http://www.air-

worldwide.com/NewsAndEventsItem.aspx?id=20337 [Accessed: 2nd November

2011].

American Business (2011) Dot Com Bubble, [online] Available at: http://american-

business.org/2450-dot-com-bubble.html [Accessed: 2nd November 2011].

BBC news (2011) Timeline : North Korea, [online] Available at:

http://news.bbc.co.uk/2/hi/asia-pacific/1132268.stm [Accessed: 6th november 2011].

Bloomberg (2011) Japan Government Bonds Yield & Interest Rates, [online]

Available at: http://www.bloomberg.com/markets/rates-bonds/government-

bonds/japan/ [Accessed: 10th November 2010].

Bloomberg (2011) U.S. Government Bonds, Treasury & Municipal Bond Yields,

[online] Available at: http://www.bloomberg.com/markets/rates-bonds/government-

bonds/us/ [Accessed: 10th November 2011].

Elwell, C. (2008) Weak Dollar, Strong Dolar: Causes and Consequences, Library of

Congress. Congressional Research Service, 1(31985), p.1.

Gyohten, T. (2011) Strong Yen and the Japanese Economy, Institute for International

Monetary Affairs (IIMA), 13(13), p.1-4.

Hattori, M. and Shin, H. (2011) Yen Carry Trade and the Subprime Crisis, IMF Staff

Papers, 56(2), p.384-409.

Ito, T. and Mishkin, F. (2004) Two decades of Japanese monetary policy and the

deflation problem, National Bureau of economic research, 1(10878), p.15.

30

Kath Lien: Foreign Exchange currency expert (2011) Quantitative easing 101,

[online] Available at: http://www.kathylien.com/site/federal-reserve/quantitative-

easing-101 [Accessed: 1st November 2011].

Market ticker (2008) A brief history of the Yen carry trade in FX, [online] Available

at: http://tickerforum.org/akcs-www?post=104038 [Accessed: 20th october 2011].

Mccauley, R. and Mcguire, P. (2009) Dollar appreciation in 2008: Safe Heaven, carry

Trades, dollar shortage and overhedging, Bank of international Settlements, 1(0912),

p.1-91.

Nanto, D. (2007) Japan's currency intervention: policy issues, CSR report for

congress, 1(21), p.98.

Optometrica (2011) Graphs gathered from blogs, [online] Available at:

http://optimetrica.blogspot.com/2006/01/graphs-gathered-from-blogs-december.htm

[Accessed: 6th november 2011].

Reuters (2011) Analysis: Japan disaster costs seen at least $180 billion, [online]

Available at: http://www.reuters.com/article/2011/03/14/us-japan-economy-costs-

idUSTRE72D60V20110314 [Accessed: 14th Aug 2011].

Reuters (2011) Chronology: Bank of Japan policy moves since 1973, [online]

Available at: http://www.reuters.com/article/2011/08/04/japan-economy-boj-

idUSL3E7J31EE20110804 [Accessed: 4th november 2011].

Reuters (2011) Japan debt safer than U.S. debt: China economist, [online] Available

at: http://www.reuters.com/article/2010/08/11/us-china-japan-debt-

idUSTRE67A23920100811 [Accessed: 5th November 2011].

Tosborvon, T. (2010) Exploring the Yen Carry Trade: Investor's Choice of

Target Currencies, Department of Economics, 1(1), p.1-25.

31

US Chamber of Commerce (2011) Corporate Aid Tracker - Japanese Earthquake and

Tsunami, March 2011, [online] Available at:

http://bclc.uschamber.com/Programs/disaster/corporate-aid-tracker-japanese-

earthquake-and-tsunami-march-2011 [Accessed: 1st November 2011].

yen dollar exchange rate trend analysis and medium term forecast to april 2012

Documents